In some communities there are "neighborhood dispute" committees. Maybe check to see if there is such an animal where you live?
It IS a shame. OTOH, people like that are, unfortunately, a fact of life. I assume you have also told your kids not to take it personally, and to keep letting you know if there is a problem.
Technically, of course, what they are doing is probably, legally, harassment. You can't constantly threaten to call the police when nobody is doing anything wrong. Do you by any chance know a lawyer who might be able to send them an official-type letter telling them that the kids are doing nothing wrong and that continued threats may result in legal action against them? Sort of a last resort, because it might increase their hostility.