MadMike made a valid point on this, imagine you are a smuggler. You've not been scanned yet, so you're clean. You've got a ship load of narcotics heading off to somewhere that doesn't like them, but their black market does. You know you might get attacked along the way by pirates, so what you don't want is the cops turning up to see what the fuss is and scanning you.. potentially getting you a big fine, ruining a mission etc etc.
I can give you another one as well, the simple fact that I don't want police 'help' when I'm fighting multiple enemies or one or two big ones. For example, I'll often pop into a weapons fire detected Threat 4 USS and expect to find one strong big ship, 2 average big ships, three weak big ships or 4 Vultures. I like to challenge myself to take on these groups or behemoths in not just small ships, but lightweight engineered, including weapons. It takes me 10 minutes to down a Deadly Corvette in the iCourier, or 3 minutes each for vultures. The cops usually turn up about 30 seconds after the first ship manages to hit me with its weapons, and then start ruining the engagement by either;
Taking out the rest of the wing while I'm busy with one of them
In combination with my sustained damage, cause a significant enough drop in enemy HP over time to make the enemy wake (this is particularly annoying when doing assassination missions)
Get in the line of fire
Generally get in the way and scram (scan-ram) me while I'm fighting etc
I simply prefer not to have them interfering, and I extend the same courtesy to any player who would interdict me, I don't need or want the popo to fight my battles for me, simple as that.