(pretty sure unless you have written permission from whoever is in charge of communications at what ever agency you want to monitor, its definately illegal)
No. Unless you are attempting to circumvent encryption, there's nothing illegal (in the USA) about trying to parse a data packet received over the air. Other nations' laws may vary, what's legal in the USA may not be in Latvia and vice versa.
But you're not going to intercept the GPS packets unless the user is very close, and parsing the GPS coordinates from the data is going to be difficult unless you know the packet format and encoding scheme.
You may get into trouble if you use the data in some manner the police don't like (e.g. posting the locations of officers in real time on a mapping web page), or use the location info to plan or engage in some other illegal act.