Yes. Once while working I learned information that could get other people in trouble. I was asked about it and said I didn't know. Although even then I knew it wasn't the best thing to do, in fact I didn't know what to do. It was like a dilemma. ...
In your case, you had no involvement and were neither the victim nor the beneficiary.
You had no opportunity in advance to warn these others or to talk to them about the right or wrong of their actions. It already had happened and then you got to know about, as far as I have understood.
In your case, you could only have gone to the people concerned and informed them that you had been questioned and that you had not said anything for the time being to give them the opportunity to tell the truth themselves. It was their actions that had put you in this dilemma. You would therefore have been justified in saying that they should be the ones to resolve the dilemma. In this way, they would realise that if you were questioned a second time, they would have no right to expect you to cover for them. This uncertainty about your decision might have influenced their own behaviour. They might have abstained from further actions.
You are no longer responsible for the actions of others if you have made yourself clear and the others still act against their better judgement and warning.
Now, if you'd have come to another conclusion because you heard their reasoning, that would then be another scenario.
This is a great example of dealing with such questions of actions and consequences. Being confronted with such a dilemma helps to deal with future dilemmas when you become clear about yourself in the aftermath of such an experience.