Policemen’s ball? You might be arrested there (3,4)
I believe the answer is:
cop shop
'you might be arrested there' is the definition.
(police station)
'policemen's ball?' is the wordplay.
'policemen' becomes 'cops' (cop is a kind of policeman).
'ball?' becomes 'hop' (informal dance event).
'cops'+'hop'='COP SHOP'
(Other definitions for cop shop that I've seen before include "office investigating crime" , "Nick" , "Police station (slang)" , "'Police station (3,4)'" .)