Contacting the police allows them to start investigating the crime. You will also want to obtain a copy of the police report, the police report number, and the name of the investigator. Banks, credit Card companies, and other agencies may require this information as proof of a crime.
When filing a police report, provide as much documentation as you can to prove you've been a victim of identity theft. Documentation including collection letters and credit reports can help the police create a thorough report.
If the identity theft occurred while you were away from home, you may also need to file a police report in the jurisdiction where the theft actually occurred.
Get a copy of the police report to submit to your creditors and others that may require proof of a crime.