More than 5,000 officers marched to the Interior Ministry at the weekend, blowing whistles and shouting slogans.
They marched under banners proclaiming: "Citizens! Forgive us for not arresting those truly responsible for this crisis - bankers and politicians."
Unified Police Union spokesman Jose Maria Benito said that they were there "to tell the government that security has to be its priority."
He said budget cuts meant working conditions were more precarious, law enforcement equipment was inadequate and officers who left the force were not being replaced.
SUP general secretary Jose Maria Sanchez Fornet warned that "each year, between 1,500 and 2,000 police officers retire and 125 are recruited, which means in three or four years, there will be more insecurity and crime in Spain."
Planned cuts of €150 billion (£120bn) saw hundreds of thousands of workers protest in Wednesday's general strike.