The one he was "arguing" against by walking away was Zeno discussing his paradox about having to go halfway to a target, then halfway again, etc., so therefore you could never truly get there. Whether it happened or not is another question, but given Diogenes seemed to be the anti-philosopher of many names, if he didn't, then had he been there and heard it he would have.

Or he might have done something a bit more interesting than leaving.

Records of events in Greece past the 5th century BCE are about as reliable as any other bit of history. Diogenes was a philosopher famous for being something of a wit and an iconoclast, so this would have been very in-character for him to do.