I think the reason that Gallien did not call the police is because he had faith in McCandless. For every question Gallien asked Chris had an answer. Chris also seemed very confident about being able to survive on his journey. I think that Gallien saw this and trusted that Chris could handle himself. Also, Chris was very set on making the journey on his own using his own methods. Gallien didn't want to ruin Chris's aspirations, especially because he could see how pationate McCandless was about making the trip on his own.
I also think that another part of letting Chris go without calling the police was Gallien wanting to see if Chris could actually do it. By the way Gallien was asking questions it seemed as though he was intrigued by Chris's plan and was curious about the outcome.