It depends on the amount, if you are scammed just few hundreds of dollars, the money you will need for investigating the fraud will be much more higher, the second is that it is still possible the scammers knows how to be anonymous enough, this can make the investigation not to worth it but making you to lose more money. But if multi thousand or million dollars is stolen, you can begin reporting it to chainanalysis to help you.
For some people a few hundred dollars are equal to ,,multi thousands'' and I think its worth to contact your country's official bodies. As I get the information(which is not 100% right) there are no official bodies to complain against crypto scams but you may try to contact police. Another solution may be to contact the exchange company and report the feud actions.