Retired copper perhaps, heading for exit, set off (7)
I believe the answer is:
explode
'set off' is the definition.
(I've seen this before)
'retired copper perhaps heading for exit' is the wordplay.
'retired' becomes 'ex'.
'copper perhaps' becomes 'plod' (informal term for a police officer).
'heading for' suggests taking the first letters.
The initial letter of 'exit' is 'e'.
'ex'+'plod'+'e'='EXPLODE'
(Other definitions for explode that I've seen before include "Burst violently" , "Pop" , "Violently shatter" , "Detonate" , "Burst outward" .)