Are these answers all OK?

Person A-
Why didn't you report it to the police?

Person B
That didn't occur to me at the time.
That didn't come to my mind at that moment.
Nothing like that came to mind at that moment.

Question

Are these answers all OK?

Person A- 
Why didn't you report it to the police?

Person B
That didn't occur to me at the time.
That didn't come to my mind at that moment.
Nothing like that came to mind at that moment.

Answer

All three answers are understandable, but the best and most natural one is:

“That didn’t occur to me at the time.”

The other two are OK but sound less natural.

If you want a second natural option:
“It didn’t cross my mind.”

Answer

All of those answers work just fine, but the first sounds the most natural.