My advice for dealing with law enforcement-
Know your local knife laws. Know your rights.
Find your local knife laws online, print them out, and carry a copy in your wallet. Believe it or not, but showing a cop that you know the law, and actually showing him the law, can and has prevented knives from being confiscated.
If a cop trys to tell you that your knife is illegal, tell him "That's not what my lawyer told me. If you take my knife I will call him and have him meet me at your station". Naturally this is a bluff, but it can work.
If a cop insists on taking your knife, ask to speak to their supervisor. Their uniformed superior officer should be riding around in another police car. Also, politely ask for their name and badge number. Look at the name tag on their chest and at their badge so you can record the info yourself. Write down any identifying numbers on their police car. Write down their license plate number.
Whether or not you choose to fight through legal channels to get your knife back is up to you. But I say, if you are willing to let the police illegally take your lawful property without standing up for your rights, then you don't deserve those rights.
Another idea if you are truly concerned about you knife being confiscated is to have your personal info ingraved somewhere on the knife. It would be pretty hard for a dishonest cop to say that it was HIS knife, or that he found it, or that he took it off someone else, if it has YOUR name engraved on it.
And if you think that you will incur the wrath of the cops, or that they will drum-up some reason to arrest you if you try to get your knife back, well, that's exactly what they want you to think. That's how they get away with violating peoples rights.