I cant go back to the police station.

There's no option to return to the station ?

Are you using any mods in your game ?

Read your options on your sim carefully, one of them should be return to Police Station - might have to click More first to see it. If it's close to the end of your shift and, your performance is good, just chill until time to go home, deal with things at the station the next shift.

I had this happen as well. My sim was at a crime scene and after I selected the option to go back to the police station I was dropped in an unfamiliar location with the option no longer appearing. It felt as though I had been put on patrol instead, only without the slew of angry townies walking around. I just went home early and picked up where I left off the next day, it didn't seem to have any effect on anything else.

To go home early, all you have to do is click on the event timer on the upper left corner of your screen and you'll get the option to leave early, stay late, or cancel the menu. I believe it might have had a slight performance loss, but I was able to gain it back and get promoted the next day, so it can't have been very significant.