As ChopBam had said, he's throwing smoke and mirrors on his actions thereby causing confusion. I'm also with ChopBam in that while lynching him could very well blow up in our face, I doubt that possibility.
If you are in fact unlynchable, and with no benefits otherwise of the attempt, then no harm done. The lynch will pass and everyone will have gained information. We would then enter Day 2 with a lot more to go off of.
Would you mind explaining what you mean with that?
Last game when we found he was unlynchable, it was just that. Nothing gained, nothing lost for either side. Town didn't lose what could have been a friendly, and Mafia didn't score the lynch in their favor.