You just tell them "Don't have one". Then they (most likely a second TSA agent so you don't hold up the line) run a quick interview to try and establish who the heck you are, and if you can be trusted to be let onto a plane.

Do not have one. Asked for my name, if i had any proof of it (i had a few credit cards in my name) lots of other questions. very thorough pat down. disassembled by bag slowly. took 40 min.