I mostly don't, but my job is relatively common and not public facing. So, I might tell them what I do broadly (as in "I'm an accountant."), but I won't say who I work for or in what field.
Why lie (or be vague)? I don't go to strip clubs when I'm looking for an abundance of scruples. And though I think the percentage of dancers who might track you down is low... it's not zero. If caution costs me nothing, then I use caution.
The phrase "I'm not really here to talk about work." is useful to get off the topic.
Also, I'm not an accountant. I'm shit at math.


I have told them what kind of work I do and what my employer does, broadly speaking, but there's no great need for more details than that.