The TVTropes Trope Finder is where you can come to ask questions like "Do we have this one?" and "What's the trope about...?" Trying to rediscover a long lost show or other medium but need a little help? Head to Media Finder and try your luck there. Want to propose a new trope? You should be over at You Know, That Thing Where.
The Main Characters Do Everything. Idiot Plot if it's really poorly handwaved. Closed Circle might work as well.
I'm guessing there's no specific trope for this? Idiot Ball seems about right. I was just wondering if there was a trope specifically where the protagonists ignore calling the police as an option.
There's also Snooping Little Kid for particularly young examples.
Something happened, something definitely worth calling the police to come handle the situation. Instead of doing this, our main characters decide to become amateur sleuths and go looking for whoever did the thing and solve whatever happened. Usually the police aren't called because Police Are Useless or Cellphones Are Useless. But in this case, neither the police or cellphones are useless. The main characters are perfectly able to call somebody and the police are able to come save the protagonists.
Short version: The protagonists decide to not call the police and instead decide to take matters into their own hands. Even though the police would be much better at solving the problem.