This scene in X-Men: Apocalypse contains one officer with a bow and arrow who accidentally releases it, impaling Nina and Magda.
Why do the officers carry bows and arrows?
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Because they know what Magneto can do. After the events of X-Men: Days of Future Past, Erik's ability to control magnetic metals are well known and he was a wanted criminal.
So after getting information about him, they avoided bringing any kind of metal at all when attempting to capture him. But going without any kind of weapon would be stupid. The bow and arrow were made of wood, giving no edge to Magneto. They also took a bat or wooden blunt object.