Carry a hand held camcorder - get proof. Have a friend that has the same height, build, and haircolor as you, wear an exact outfit as you, ..jeans, tennis shoes, long sweatshirt, baseball cap, dark big glasses. Have him wait in the bathroom at the mall. You go in (wearing EXACT same thing) a minute later, HE goes out, you change clothes, and see who's following him. Camera phone!!!
The police are right; unless you can prove the people after you are actually following you, they have not committed any offence. You might want to talk to a senior officer at the station about giving you security or if you can, hire your own security. An attorney would be best placed to advice you on this, in case the problem persists.
If your 21, see about a conceal carry permit. Find you a nice 9mm to carry with you (concealed of course). Take some time at a gun range. Enroll in a karate class so you can learn some defensive skills. If you are under 21, get mace, a tazer and the classes.