You have three sequential events in 'double' reported speech. To keep their order of occurrence by using different tenses, you can simplify the tense for the first event (past to present) - in case it's not a narrative about past times and the events are still in progress after what the police said:
The police say that the neighbors informed them that a body had been
found on the terrace.
Alternatively, you can use just two different tenses and additionally specify, which of the last two events (used with the same verb tense) happened earlier or later:
The police said that the neighbors had informed them that the body had
been found earlier on the terrace.
Or you can simplify the reported speech to its 'singular' version by using a participle for mentioning the last event:
The police said that the neighbors had informed them about a body
found (earlier) on the terrace.