Pokemon Colosseum takes place in the Orre region, which doesn't have a traditional police force or police stations like you would find in other Pokemon games.
The closest thing to law enforcement in Orre is the Cipher organization, which acts as a shadowy criminal organization, but is also tasked with maintaining order in the region.
It's possible that you might be thinking of a different Pokemon game, like Pokemon Ruby/Sapphire/Emerald, which features a police station in Slateport City.