My wife used to work for the IRD in NZ (our version of the IRS in the US). They work under tax secrecy laws which supercede almost all other laws. They were literally not allowed to pass information to the police about illegal income, though they can demand information or assistance FROM the police.

Lots of illegal income would be declared, from drug money to money from prostitution (before it was decriminalized). Plenty of people wouldn't care about the cops coming after them, but wouldn't want to deal with IRD chasing them. At least here, IRD agents can enter your property without a warrant (accompanied by police), take all your stuff and have you arrested, in a way the police simply can't.