You do because for the criminal there is no way to know if you used a duress code or not.So if you cant really get into a better position in the eyes of the criminal by not using it,you might as well use it and get cops to know you are in trouble.
Not to mention that cops will potentially have a live video feed of the crime scene as the crime is being committed!
Or better yet, what if it's an elaborate CIA plot to convince you that the moon landing was real? Plotted by intelligent elephants, who breathe fire and crap diamonds! They're a part of the deBeers cartel, and when you're asleep, they rearrange your underwear!
How deep do you want to make your conspiracy theory go?
That's always a risk anyway, in the UK we have an anonymous crime reporting phone number. You are never going to know for sure whether someone in their telephony department is somehow logging information from all the calls and handing it over to the mafia etc.
Not to mention that cops will potentially have a live video feed of the crime scene as the crime is being committed!