If true, I find this more amusing than anything else.
I'm considering sending a letter once a year, requesting my file. I'll randomly include odd references, and maybe the occasional Haiku. Sometimes I'll type using all caps, other times I'll hand write in my admittedly poor cursive. Should be amusing to someone 20 years from now, or if I ever commit some interstate bank robbery. Its very important to plan for potential conspiracy theories.
I once requested my FBI record (I'm British). There was no file on me.
More interesting, I also asked for deceased film producer Don Simpson's file - to my surprise, he has no record.