Now you need to go to GCPD (Gotham City Police Department), but there should be no more obstacles on your way. When you reach the police station, locate the entrance to the parking lot and park the Batmobile near the cells. Leave the vehicle and talk to Gordon, who will tell you about the tasks that you can fulfill (you can select quests in a newly unlocked quest menu).
Note - The police station is a sort of a base. You can return here to activate new side quests and, to talk to friendly NPCs, interrogate villains and view your trophies.