Where to file police nc

Respected Lawyers,

Mahanagar PNG Gas Mumbai is saying that they did not receive the assets like gas meter and hence to close connection, I need to file Police NC and submit affidavit notarized.

If I am currently out of Mumbai say in Nagpur but the premise where gas connection was installed was in Andheri Mumbai, so does it mean I must register police NC in Andheri police station?

Thanks