Some years back I had a discussion with somebody about in stories and movies where something weird or bad has happened and either A., the main characters call the police and the cops don't believe them and they're stuck solving the mystery/problem for themselves, or B., they don't call the police and just jump into action.
This person said it works better for them to call the police first, why? Like in the movie The Burbs, they think their neighbor has been murdered by a satanic cult, they don't call the cops, they do their own investigating, which unfortunately results in them blowing up the house, but it wouldn't have been as funny if they'd had the cops come out first. Or like in the book Coraline, her parents are sucked into the 'other' world and are in the mirror, and what does she do? Call the police, why? What does she think they're going to do?
I say why not cut out the middleman since we KNOW the cops aren't going to believe them? I think it makes for more interesting story lines that way that whatever they do instead would be their first instinct instead of calling the cops who are going to laugh their asses off at whatever it is.