Because we have no actual evidence, Molly. What's Lestrade gonna do? Give him coffee, ask him a few questions, and send him on his way? There's not even enough to make him a person of interest except Sherlock said so. I know Lestrade's willing to stick his neck out, but we don't want it getting chopped off here, not with Caroline Matthews to catch still.

We also don't want to tip him off that we know anything. If he is part of this, then we can just pull him into the 'investigation' and wait for him to trip over himself.

[That's John's logic here, anyway. He has no actual idea what Sherlock's is. Greg's a good man, though. Jim seems too clever to just give himself away for no real reason other than the big bad policemen asking him questions.]