Probably because she knew DHS (or ICE) would do pretty much the same thing they're doing now - little or nothing.
So call tehm anyway and then report that they were called and did nothing. It can't hurt.
Besides, it would be interesting if, after making it clear that they wre not allowed to call DHS themselves, the cops would dare try to detain a citizen for doing so. After all, they were there to 'protect" the illegal alien rally.