Police finally leave small wood (5)
'small wood' is the definition.
(I've seen this before)
'police finally leave' is the wordplay.
'police' becomes 'cops' (I've seen this before).
'finally' indicates one should take the final letters.
The last letter of 'leave' is 'e'.
(Other definitions for copse that I've seen before include "Piece of woodland used for cutting", "Cluster of trees", "Harvested woodland", "Small group of trees", "Scope for a small wood".)