Why would 'police station' be marked as wrong when it is given as a translation?
The drop down hints are a kind of dictionary it doesn't mean evry word given is used in every situation. I've added "police station" as correct, since there is no context it is possible.
Πήγα στην αστυνομία is more generic, and can mean i asked for their help. Πήγα στο αστυνομικό τμήμα is more specific meaning i went to the police station (the building).