Maybe they were wondering if Bubba was setting up a drug deal, or arranging to launder terrorist money. Better question is "Why do the Police have my phone?"
The answer probably depends on why the police had your phone.
If the police had my phone and were using it for messaging, I would probably not be talking about it on a public website forum like this one, but might do things like contact a criminal defense attorney or terminate my phone service, get a new phone and number, notify all my contacts that I had a new number and that any communication from my old number is not from me.