There used to be two buildings there. The one along Nathan Road has been demolished. The one that still exists today is further back from the road. Here a picture from a Hong Kong government site with the description like this:
Former Kowloon Police Headquarters = 前九龍警察總部
香港 : Information Services Department
Located on Nathan Road near Prince Edward Road, the old Kowloon Police Headquarters was completed in 1925 originally comprising two blocks. The block in the foreground had been pulled down in 1970s to make way for the construction of Mass Transit Railway. The remaining block at the back became a part of Mong Kok Police Station and it is a Grade II historic building nowadays.
https://mmis.hkpl.gov.hk/coverpage/-/coverpage/view?_coverpage_WAR_mmisp...