Yes, it is a crime to lie to the FBI. Making false statements to federal investigators is a federal offense punishable by fines and imprisonment.
Check the FBI Uniform Crime Report link on the FBI web site.
Report it to your local police department first. If it's a crime which falls into the FBI's jurisdiction, then the PD will forward it to the FBI.
The FBI
The FBI crime lab in Quantico, Virginia.
The FBI rarely gets involved in local community crime. The FBI investigates violations of federal statutes, and usually only those of considerable gravity, such as organized crime and terrorism.
any type of crime
The FBI's Uniform Crime Reporting Program
The FBI's Uniform Crime Reporting Program
There are a lot of "It Depends" possibilities here, but if the crime crosses state lines in the US, the FBI will be involved.
The FBI can investigate any federal crime, whether it is considered to be "white" or "blue" collar. If someone bashes the head of a federal officer with a lead pipe, the FBI has the authority to investigate that federal crime.
If a crime is a federal crime, or if it is a state crime but crosses state lines it falls into the jurisdiction of the FBI. Also at certain times they can get jurisdiction on a crime that doesn't fall into those two categories if some higher authority gives the case to them.
FBI Uniform Crime Report