Trump sat down with Fox News anchor Bret Baier for a wide-ranging interview Monday night ... and the 45th Prez gave an odd response when the questioning turned to why he held on to sensitive materials that belong to the National Archives in D.C.

DT said he was "very busy" and needed time to sort through the boxes because his personal effects were mixed in with the top secret documents, adding ... "These boxes were interspersed with all sorts of things: golf shirts, pants, shoes."

Baier followed up with ... "Iran war plans?" Trump responded, "Not that I know."

Baier was referring to an audio recording of Trump allegedly saying he wanted to share Iranian war plans with others -- something DT fervently denied, even though it's part of his federal case. Trump also shot down the notion he boasted about having classified docs to guests at his Bedminster, NJ estate ... an allegation also included in the indictment.

Of course, Trump also suggested the feds might have planted some of the classified docs when they raided Mar-a-Lago in August 2022.

Trump told Baier ... "All of a sudden we got raided…what I’m concerned about [is] they took everything. Right? I don’t know what they took."

He continued ... "They could be stuffing it. I don’t know what they put in there. They have never treated a president like this."

As we reported, Trump was arraigned last week in a Miami courthouse on a 37-count indictment charging him with, among other things, willful retention of national defense information, conspiracy to obstruct justice, and withholding a document or record.

Prosecutors claim Trump squirreled away stacks of boxes containing classified docs in his Palm Beach resort, including on a ballroom stage and next to a bathroom toilet.