Ruf die Polizei und sage denen, was du mir gesagt hast!

English Translation

Call the police and tell them what you told me.

I am confused as to why in this sentence “to them” is translated with “denen” rather than “ihnen”. Am I to beleive that “denen” and “ihnen” can often be used interchangeably?

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You cannot always interchange them.
“Denen” (and all the other forms) always refers to something said before.
Maybe it is more clear if you think of it as the start of a missing and unnecessary relative clause.
In this case

“Ruf die Polizei und sage denen (die du gerufen hast), was du mir gesagt hast.”

“Denen” is also less formal. As a non-native speaker you cannot err with “ihnen”.

Another example

“Er ist eine Nervensäge. Sag dem / ihm, ich sei nicht da.”
He is a pain in the ass. Tell him, I am not here."

In this case “dem” is derogatory, because it kind of repeats the insult.

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