Or he could be just bluffing them, to throw the FBI profilers off track. It's more likely he's doing it for the limelight, and for gettting one up on the peegs.
Can't see how he'd ever get away with the money, but apparantly it was some sort of electronic transfer request. Maybe he's a master international money lauderer too.
He's been pretty clever so far, so can't imagine he's going to fall for the quite pathetic request of the police to "call us back, we can't hear you".