The police are there, just standing around doing nothing. Watch the helicopter video carefully and you'll see them and their vehicles. The TV guy doesn't want to show the police doing nothing so he tries to keep them out of frame.
See video:
Protesters block road to Donald Trump rally in Fountain Hills
http://ktar.com/story/971087/donald-trump-rally-fountain-hills-arizona-protesters-block-road/
It looks like the police are actually mingling with the crowd and doing less than nothing. They are just more bodies circulating around with the crowd. The authorities are letting the leftists block access to Trump's rally by being so passive. This appears to be being managed so that there are no arrests, and if so, the Left is further empowered - they disrupt the rally and there are no personal consequences.
Cops are probably on the Soros payroll.