There is also a variant of this joke when CIA, KGB and the Chinese special service are doing the same thing but this one is funnier.

The LAPD, The FBI, and the CIA are all trying to prove that they are the best at apprehending criminals. The President decides to give them a test. He releases a rabbit into a forest and each of them has to catch it.

The CIA goes in. They place animal informants throughout the forest. They question all plant and mineral witnesses. After three months of extensive investigations they conclude that rabbits do not exist.

The FBI goes in.
After two weeks with no leads they burn the forest, killing everything in it, including the rabbit, and they make no apologies. The rabbit had it coming.

The LAPD goes in.
They come out two hours later with a badly beaten bear. The bear is yelling: “Okay! Okay! I’m a rabbit! I’m a rabbit!”