If your exercise says there is an error, the exercise is wrong. The sentence is OK. What there is is a slight problem... The problem is a slight ambiguity. Can you see what the ambiguity is?

You could say ,the police spokesperson or communication officer for that, And as i read the whole sentence seems to be faulty. Hence the sentence can be categorized in "dangling modified error". you can correct it by just adding suitable subject ,or bringing the meaning to sentence by referring the open sentence to the subject. "Last seen wearing dark glasses and a blond wig٫the police spokesman said" what the police spokesman was wearing dark glasses , Haha " Corrected answer should be like "The police spokesperson said that the subject last seen wearing dark glasses and a blond wig was still being sought" and i hope it helps.

Last seen wearing dark glasses and a blond wig ٫ the police spokesman said the suspect was still being sought .

The exercise says that there is an error with this sentence that we must find it and the problem is with "the police spokesman said" it says this Is WRONG .also I want to know WHY is it WRONG.

It would be a good idea to get used to punctuating correctly too. One space, only after, a comma or full stop. You left out the space after your commas, which made it hard to read.