Are these two neighbors on either side of you? Or one couple that lives on one side?
Are you at all on speaking terms with them? What if you were to go to them and say something along the lines of, "I understand you've had some issues with my kids playing outside. What seems to be the problem?" And after they've rambled on about whatever, maybe you could say, "Well, I will certainly ask them to be considerate, etc., and I would appreciate your letting me know if they are bothering you." Maybe that will eliminate the threats to "call the police"--OTOH, it may just lead to their coming over to complain every five minutes. Sort of a judgment call. Do you maybe have another neighbor or friend who could come with you as a witness to see what they say and how you talk to them?
OTOH, it might be amusing to see the "police response." These are probably the same kind of people who call 911 when the drive-up order at the fast food place is wrong.