I recommend that you ignore this issue and go directly to the consulate and state your case, the same thing happened to me, they asked me for a Police report, until I showed up at a station and I told them about my problem to which they told me that they could not help me because They did not know if the report would use it for good purpose, even they talked to an assistant of the consulate, and in the end I introduced myself to the consulate to see what happened and without any problem they processed my lost passport ... that my personal advice that I hope to re help...
The police cannot ask you about your immigration status, it is a law that was discussed in 2018. You can make your report without problem.
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