What kind of advice did officer give to Mcmurdo?

The police officer advises McMurdo to leave town.

Well, we can let that be bygones; for, between you and me—and perhaps I’m going further than my duty in saying it—they could get no clear case against you, and Chicago’s open to you to-morrow.”
“I’m very well where I am.”
“Well, I’ve given you the pointer, and you’re a sulky dog not to thank me for it.”