There could also be an element related to the building itself. If the police station was built on an ancient burial ground or a site with a tragic past, it could be a source for the ghost story. For example, people might claim that objects move on their own or that there are unexplained cold spots in certain areas of the station because of the connection to the land's history.
One possible element could be a haunted cell. Maybe prisoners in the past reported seeing strange figures or feeling a cold presence in a particular cell, and over time, it became part of the ghost story.