I believe the reason the police ask this is because of a lesser understood definition of assault in English law (by English law, I mean specifically in the jurisdiction of England, I'm sure it's probably the same for the rest of the UK but there are some national differences).
An assault has occurred when the victim reasonably believed they were intentionally put in danger of injury from another. There doesn't actually have to be an injury for an assault to have occurred. Just the reasonable belief that there was an intention to cause harm. Therefore if nothing has been damaged and there's no other evidence of other offences, then there's no crime. Unless the victim genuinely believed that there was an intention to cause harm. The question then is, if you genuinely believe there was such intention, surely you'd be intimidated. If you were not intimidated, and you are unharmed, then there's no assault. The coppers then have nothing to work with.
