A police report from China really isn't what you think it would be. If like me, you live in a Western country and have a decent police force you might be mistaken in thinking that this would be a good way to go about things.
In China, you can 'influence' how a police officer sees things with something as simple as a carton of cigarettes. If you don't want to deal with a strong headed police officer then you can see the political head of that region and explain to them why the matter should go away. Also, when you're not present locally, it would be very hard to make a report, especially for something so complex.
It's one thing for the local police in China to deal with a local theft of physical goods but it's quite another for them to deal with a crypto-currency with multiple international jurisdictions.
While all this
may be true, it doesn't stop Zhou from filing a police report. However, no matter how corrupt, the police would probably ask simple questions like "What is his name?, what is his phone number? " etc. Since Zhou would be unable to provide this, the police would quickly realize Zhou is making this guy up. You and I can't demand Zhou provide proof, but they would certainly demand proof when Zhou filed an official report.
This is why until Zhou files a police report, a reasonable person has to assume he is making it all up.