It's not a difficult answer—I bring a burner phone with me when traveling internationally because I don't want to run any risk of a thief getting the keys to the kingdom. Sure, I could remote wipe if that happened, but it feels a lot safer to just not have a phone with real data on it at all.
You're not the first person they've detained who didn't want to bring their real phone with them for totally innocent reasons.
1) i don't really have anything to hide / i'm not doing crimes
however i also:
2) don't want to give my unlocked phone to a border force so they can download my entire life
but if i am compelled to unlock a blank phone to a border force:
3) they will suspect me of doing crimes