Use the article "the" in these cases and you cannot go wrong.
Someone called the police. (correct as is)
They said they were police officers. (corrected) or They said they were the police.
The police say they're doing all they can to catch the culprits. (correct as is)
The police were completely unhelpful, and , as if that wasn't bad enough,
they accused me of wasting their time. (correct as is)
(The) Police say the incident took place at around 9 o'clock yesterday evening. (common usage the understood)
A young girl answering Anne's description had just been brought in by police officers or the police.