Well, he actually used sleight of hand to trick muggers who had him at gunpoint. In 2006, Copperfield was in Palm Beach performing at the Kravis Center. Afterwards, he and his two female assistants went out to eat at a steakhouse. On their walk back to their tour bus, four adolescents drove up to them in a Malibu.
Two of the boys jumped out of the car with guns and demanded the women to empty their purses. Then they pointed the guns at Copperfield and told him to empty his pockets. Used to being under pressure, Copperfield used a sleight of hand and showed his pockets to be empty even though they held his wallet, passport, and a cell phone. The boys jumped in the car and drove off. One of the assistants called the police and the perpetrators were caught within an hour and everything returned to the women.
Bonus: Here's a video of David Copperfield performing.