This has happened to me.
Some years ago, I headed for a parlour that I had been to a couple of times before. They were never the most discreet place - the guys in the garage next door definitely knew what was going on.
I saw a police van parked in the car park of the golf club opposite - so I kept going. Tried again a few days later - police van there again. I figured that there was a good chance that they were getting ready to raid the place, so I gave it a miss.
A short time later, they were raided and shut down. Even if I wouldn't have been subject to any criminal proceedings, I would prefer to avoid the drama etc of a raid.