I live near a police/fire/ems station but there is a large open space very nearby that I like to fly at because I am new to flying drones and not very comfortable flying near any obstacles. However, between about 250-300 feet I get very strong warnings of signal interference so I immediately bring the drone down to land because it freaks me out. My first question is, are the antennas from the police/fire/ems causing this interference or something else and second what happens with signal interference and how seriously should I take the warnings I get through the DJI Go App?
Thanks

We can't answer your first question because you're not giving us enough information (e.g. where are the antennas relative to the AC/controller?).  

Signal interference will in effect weaken your own signal.  What you do about it is up to you.  For example, if I was on a distance run, I'd try to plow through the problem area because once you get beyond the interference, it shouldn't be an issue anymore.  If you do happen to lose the control signal, you should have great confidence in AC's ability to return to home provided you have a good compass calibration and your fail-safe goes to RTH.  I think landing immediately might be an over-reaction.

This issue is normal if you fly near these stations. These have not the same frequences but the field power is more than the power of the RC. If you fly too close to that stations the copter will initiate a RTH  

Just to add to what's already been provided you can check to see if you're at least getting the max range out of your antennas with the following video: