Claudius is no dummy. He knows Hamlet was after him when he killed Polonius.
And he probably knows why, too.
But it is funny that his first response to hearing that Polonius has been killed is, “It might have been me! I just narrowly escaped death!”
It’s not, “Oh no! What? My good dear advisor is dead? Murdered? What?”
No – it’s, “It could have been me!”
Savvy and self-involved – always a winning combo in a king.