Yeah, but why (other than to tip Gary Oldman off, of course)? In what context? The guy's like, "I'm a cop!," then he turns to his friend, says the line and shoots the other guy. Made me laugh my ass off because of how goofy it was executed.
Because the cop killed Mathilda's family in the beginning, including her mother, older sister and younger brother. It was a principled revenge hit on her behalf. He says the line earlier in the movie as well when going over his rules for assassinations.