not true.

When I was in school (back in late 90s), a bunch of foreign F-1 students (not chinese) were stopped in another city by a man who claimed he was an IRS agent. The man warned them to bring copy of I20 and passport. But the man were not in uniform nor showed them a badge or anything.

The students reported to international office later. the DSO (a very savvy person) told all int'l students that you do not need to bring those, and next time if you see such man, ask him to show his badge.

It is unlike your local laws requires that, as immigration law is strictly federal law.