(And in case that doesn't clarify quite enough, he's suspected of being his beloved's killer, and they are coming to arrest him; he doesn't care about anything except for being away from the site of where she jumped out of the window and killed herself.
Alternately, I suppose the police cars could be part of a funeral procession, and he's only defending himself against accusations of guilt, not actual arrest charges. But I think this is a less likely interpretation, since a) I don't think police cars line up in a row at the start of most funeral processions unless it's for a famous person, and b) they probably wouldn't have their lights on in that case.)