The more you upgrade your objects and areas, the more shields you will get (upper-right corner counter).

If you want to get 5 shields in your police stations, you will be able to max out every object and department in the game, as well as to expand all your coverage areas (map icon). Only when you max everything out you will receive 5 badges. 

 

Tap on the Management button (blue icon in the lower-right corner of the game screen) to see progress bars in all your departments. They should be all in green. If you see a department with a blue bar on it, you should visit it and look for the missing upgrade. Don't forget your coverage areas, they should be fully expanded.

You must study how to invest your earnings in your precinct until you get enough shields to travel to the next level. Take in mind that the leveling in your departments, the number of most wanted criminals arrested, and higher coverage in city districts will directly affect these progress.

 

These shields will unlock bigger and more challenging police stations for you.