The Affair - S1-E4
Revealing mistake: The attempt on Rodriguez's life is quite phony looking; leaving aside the trope of a person who wants to avoid being murdered by a car by trying to outrun it instead of getting out of the way (the first semi-POV of the car does a terrible job at that, since the car looks much closer to The Victim and slower than it should be, and wide room for Rodriguez to escape sideways), the impact does not happen and the stuntman jumps into a pile of garbage without anything remotely close to connecting. (00:32:00)
Answer: If it was ever found out that she was at Terry's house before he was killed, there's a possibility that a lot of people would have begun to suspect her of murdering Terry. By claiming that she wasn't, she was hoping that people wouldn't accuse her of the murder.