Often, that next step is calling a second number. Many police departments force alarm companies to try two numbers to reach the homeowner, a consequence of these systems generating so many false alarms (and I'll have more to say about that, too). The cops don't want to send out a car unless they're really sure. Florida, Georgia, Tennessee, and Alabama each have a statewide rule for this. If you can't provide a second number (because, say, you live alone and don't know your immediate neighbors), the police won't come, period. Those lonely hermits with no friends and only one number to call? Too bad! Any good hermit should have booby-trapped their front door with a dangling shotgun.*
*Do not plant booby traps around your home
On the flipside, you can give us four or five numbers to call, which is an equally terrible idea. Think of it this way: If nobody picks up, that's 30 seconds of ringing, maybe 10-20 seconds of the recording explaining the person can't get to the phone right now, and then the time it takes to leave a message detailing what's going on. So by the time the agencies are contacted, around five or six minutes have passed, which is a big deal in a real emergency.
So only after the alarm company fails to reach anyone does a call go to the police. Burglar alarms are low-priority, and dispatchers are snappy and curt when we call. I honestly can't blame them -- considering the alarms are only rarely the result of an actual crime, we're mostly a costly annoyance. And when the police are set off, that can take the most time of all because the response time depends on the availability of the nearest patrol car.
"You got any loft rentals above the station?"
What this means is that your alarm will still make a loud noise, which might scare a nervous burglar away. But any dedicated (or sufficiently crazy/high) robber can break in, head right for your jewelry and electronics (or you), and then head out with the alarm wailing helplessly away in the background the whole time.