In this section:
Castle Island
Brick
Dive
Joust
Raging Bull
Back to LEGO Island
Journey to Adventurers Island
Off to the Desert
Once you go to the police station, Nick will deputize you. Now you can use the police helicopter which is at the jail.
Fly the 'copter into the portal. It is near the mountain where the Space Port used to be.
You will end up at Adventurers Island.