A true man never goes to the police for protection, but takes care of his own problems and troubles.
It's easy to say that. But it depends of what kind of problem does the person in question have. If it's just a bar fight, it's one thing. If they threaten the life of you family members, it's a totally different thing, there is nothing wrong to ask for protection in that case. It would be crazy trying to solve problems by yourself if you had the mafia at your throat.