Why not go to the police?
There wasn't really any crime to tie them to as everything had been self defence.
I don't care about a troll who doesn't pay for his opinion telling me how to review movies.
During their conversation in the motel room right before the sicario starts shooting up the place, Lydia was concerned she'd still be killed even if she received special protection by the police. Clearly, she trusted that she was much safer with her father than with the police, and Link likewise felt the same. The appearance of the sicario during that conversation and how easily he killed those three officers seemed to vindicate that belief.
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