In each case, the agents were making inquiries based on the number of firearms these NRA members had recently bought, and in some cases the agents said they were asking because the members had bought types of guns that are frequently recovered in Mexico. 

This kind of questioning may or may not be part of a legitimate criminal investigation.  For example, when BATFE traces a gun seized after use in a crime, manufacturers' and dealers' records will normally lead to the first retail buyer of that gun, and investigators will have to interview the buyer to find out how the gun ended up in criminal hands.  But in other cases, the questioning may simply be based on information in dealers' records, with agents trying to "profile" potentially suspicious purchases. 

On the other hand, some of the agents have used heavy-handed tactics.  One reportedly demanded that a gun owner return home early from a business trip, while another threatened to "report" an NRA member as "refusing to cooperate."  That kind of behavior is outrageous and unprofessional. 

Whether agents act appropriately or not, concerned gun owners should remember that all constitutional protections apply.  Answering questions in this type of investigation is generally an individual choice.  Most importantly, there are only a few relatively rare exceptions to the general Fourth Amendment requirement that law enforcement officials need a warrant to enter a home without the residents' consent.  There is nothing wrong with politely, but firmly, asserting your rights.