Gabriel tries to keep the police away from the club because he's still working his own investigation. If police turn up at the club, it's obvious to all the members that Gabriel must be responsible (they're already suspicious about why he should be allowed to have access when the membership is supposedly very exclusive) At that point, whoever is really responsible for the crimes will cover up the evidence and escape detection. And, most likely, then go after Gabriel himself.

Ultimately, Gabriel doesn't think that the police can help with the investigation since they don't believe a real werewolf is involved. He knows he'll ultimately need them to deal with the perpetrator but he wants to know exactly who that is, and find some evidence which the police will believe, before having them descend upon the club. (We know from Gabriel Knight 1 that Gabriel isn't comfortable with this aspect of the Schattenjager duty, and so he's hoping the police will handle the messier side of things!)