If you pull over someone and as you approached them and than you turn around, someone hijacks your police car. This happens pretty often I don't know why?

Its a GTA V game mechanic. It is really a way for the game to get rid of the car to clean up some game memory. I  would advise using MoreControlV mod that you can find here on this site. With that mod it allows you to lock and unlock your doors manually along with many other cool features, all editable in the ini file provided. At this point there isnt really much you can do about it other than keep and eye on your car better 

Yeah, while annoying it's kind of funny at times. Though, I've never had my car stolen during the process of a traffic stop. My car seems to only be stolen after a Pursuit and usually when I come back to my car if there is a foot chase, for me it typically only happens if the end of the pursuit happens to be in a bad part of the city. As mentioned before MoreControIV is a good mod to use to prevent this, alternatively you can also use 'EntityPersistence' which doesn't solve the problem, but it's hilarious when a ped steals your car and there is a whole fleet of cops' nearby who will immediately chase after the ped who stole your car. EntityPersistence keeps a user defined amount and radius of well, entity's within the area so that there isn't an automatic despawn of the entire crime scene, including vehicles, dead or alive pedestrians etc etc.

Yea, I use it too. It doesn't solve all the issues but it deff helps. At least if I can stop the suspect somewhere near the scene when I turn around the scene isn't missing. Lol