It has to do with the whole hole story !
once in a land far away, cops ate only creme & jelly filled pastry. they loved the stuff. then one day, the cop agency, then known as NYPD, hired a wanker. this was a pimply faced little nerd that could never get a date.
well one fine day the guys sent him to pick up the pastry. on the way back to the precint, the kid had a powerful urge of a sexual nature. He then had his carnal way with the pastries.
after arrival back at the shop, all noticed that the pastries had a bit of a ragged look to them. the pastries were examined, the PFN was questioned. he admitted all.
from that day to now, it is always cop policy that cops eat only doghnuts, pastries with holes, because of the PFN.