Because the police enforce the laws of the state, often with violence. If the law dictates that a person being open about their identity is illegal regardless of the fact their identity harms no one, and everyone involved in their actions consents, than it is the responsibility of the cops to oppress them. One year the cops might march alongside people at pride, and then the laws might change and they'll be there to bust heads of anyone who shows up the next year.

And yeah, there no doubt exist LGBTQ+ cops, or cops whose friends and/or family whom they love are LGBTQ+, but so long as they wear the uniform they represent an organization used to oppress marginalized and minority communities.

Fundamentally, pride is not just a party, it is a protest.