Technically speaking, there is no such thing as a federal police force.
There are U.S. Marshalls, FBI Agents, Drug Enforcement Agents, ATF Agents, Border Patrol, and Immigration and Customs Enforcement officers, but there is no such thing as a federal police. (Okay, the U.S. Capitol Police Force, maybe, but I doubt that's really the issue here.)
Ultimately, federal laws trump state laws, so each of these agencies has something to hold over the heads of local authorities, but in the end, each of these agencies ultimately relies on individually negotiated agreements with local authorities to be able to operate.
For this reason, local sheriffs can, if they so decide, choose not to participate in a given action. Indeed, in many anti-immigrant states, the problem is often the reverse - local authorities are demanding the right to enforce federal laws, and at least if the case of Alabama and Arizona is considered, they aren't allowed to. The Arizona v. United States decision aka "Show Me Your Papers" was the result of state authorities attempting to enforce a federal law. Most of it was struck down, because it was too much of an entaglement between the different types of government.
The converse also holds. If DEA wants to raid a Colorado "dispensary," they have to supply the agents to do it. Colorado cannot legally bar the DEA agents from doing their job, but they are under no obligation to enforce it either.
Indeed, in a famous incident in 1963, Alabama's Governor, George Wallace symbolically stood in the schoolhouse door attempting to prevent federalized national guard troops from enforcing a Supreme Court decision integrating schools. Had the governor wished, he would have had the authority to call in local police to stop them as well - although doing so would have been a treasonous act and likely could have precipitated another Civil War.
It is that fear that, in practice, forces federal and state forces to cooperate. Nullification is no longer a valid argument, but neither has state soverignity been abolished. Federal laws are supreme, but states are not obligated to enforce them. They just can't stand in the way without bringing down much wider consequences.