Whether we want to admit it or not: It's ingrained that you are inviting an investigator to hassle you further by invoking a right to counsel. (For the record: I think that sucks too.)
Conversely: Even if you're a dishonest crook, you get the feds off your back by omitting a lawyer.
This is not how it should be; It is how it is.
(Madoff wasn't caught when the SEC first investigated because they thought he was front-running orders, not a giant Ponzi scheme. They were looking for the wrong thing.)
That's the crucial point.
That is exactly the point. Nobody shows up with a lawyer because they want transparency above and beyond the call of duty.
Investigators will take the need for a lawyer as having something to hide. Arriving without a lawyer says the opposite.
But apparently several posters above don't believe so.
If you have done something wrong (again, whether you know it or not), you'll likely have a better outcome with a lawyer present from the start that without.
But if you actually haven't done anything wrong, the lawyer can still help you avoid accidentally telling a "lie" or getting yourself into a situation you don't know how to handle. Even if the investigators believe you're hiding something just because you lawyered up, if you genuinely did nothing wrong, there's not much they can do... aside from making up evidence and framing you, or believing unreliable witnesses telling lies about you... which could happen in any case.
The bottom line (as stated in the article) is that you are not qualified to know whether or not you have or have not truly done anything illegal. A lawyer will be much better able to help you make that determination and guide your interaction with the authorities for your benefit.
Got a source for that?
It falls a bit short of backing up the claim "[e]veryone thought he had nothing to hide", but it's along those lines.