"I lost my wallet. I will go to the police box."
uhh that's super weird. it does look like it's in the French section even though I posted during my Japanese lesson. there aren't even such things as police boxes in France
へ is only used to make a statement about your movement. に is used to make a statement about your destination. The important point here is that you're going to declare the loss of your wallet, so に must be used.
For the same reason, you would use に to say you're going to the toilet.