​With Captain Marvel being the second to last film in the Marvel Cinematic Universe Phase Three, it's only expected all new characters will be introduced in the final storylines before Phase Four. But of course, as of now, these new characters are extremely mysterious and being kept under tight wraps.

This especially goes for ​Jude Law in Captain Marvel, who is speculated to be playing Walter Lawson/Mar-Vell. However, nothing has been confirmed, and when the actor was grilled on ​his role on The Late Show With Stephen Colbert, he would not crack, and detailed the high security on the film.

"I thought you were Mar-Vell," Colbert said to Law, showing audiences a photo of the actor in his full Captain Marvel look. "You are not Mar-Vell."

"I can't tell you who I am, nice try," Law responded.

Law went on to explain how secretive the role is, comparing it to his role as Dumbledore in Fantastic Beasts: The Crimes of Grindelwald, a film that has had almost as much secrecy as Captain Marvel.

"I think it might be this British-American difference. With Fantastic Beasts, they're like 'We assume you're not going to give away any of these secrets. And if you do, we're going to tell you not to again and we may quietly kill you,'" Law shared. "In Marvel, it's like, 'DON'T YOU F****** EVER TELL ANYBODY ABOUT THIS!'"

Captain Marvel

To prove how intense security is for the Marvel film, Law explained:

"There was a guy hired, I promise you, on set. I would step out, they would say 'Mr. Law, we're ready for you.' And you would step out in your suit and they'd be like, 'PUT THE CLOAK ON! PUT THE CLOAK ON! HIDE! PUT THE HOOD ON!' My children visited the set. They were running, going, 'SIGN THE NDAs! WHO ARE THESE GUYS?' It was tight and scary."

Honestly, we're not surprised. With the amount of rumors, speculation, and even suspected leaks that come out about the MCU, it's only expected the highly-anticipated upcoming films would be kept completely under lock and key. As far as Captain Marvel, we still have months until we can see the film, as it hits theaters March 8, 2019.