I'm in the same situation with you and thought I would share my two cents. When asked, I just say "there are several firms I'm interviewing, and I'm in the middle of the process". It is good that this firm wants to know where you are, it shows they are interested in you.
Therefore, you don't have to bluff. Always say the truth because HR and managers will sense lies a mile away. Remember, they meet so many people everyday and they are professional people readers. Never lie unless you are extremely good at it...and usually we are not! :))
On the other side, no need to show your hand with the real numbers from other offers. That's just part of negotiation.
Good luck!
