We generalise the popular cops and robbers game to multi-layer graphs, where each cop and the robber are restricted to a single layer (or set of edges). We show that initial intuition about the best way to allocate cops to layers is not always correct, and prove that the multi-layer cop number is neither bounded from above nor below by any increasing function of the cop numbers of the individual layers. We determine that it is NP-hard to decide if $k$ cops are sufficient to catch the robber, even if every cop layer is a tree and a set of isolated vertices. However, we give a polynomial time algorithm to determine if $k$ cops can win when the robber layer is a tree. Additionally, we investigate a question of worst-case divisions of a simple graph into layers: given a simple graph $G$, what is the maximum number of cops required to catch a robber over all multi-layer graphs where each edge of $G$ is in at least one layer and all layers are connected? For cliques, suitably dense random graphs, and graphs of bounded treewidth, we determine this parameter up to multiplicative constants. Lastly we consider a multi-layer variant of Meyniel's conjecture, and show the existence of an infinite family of graphs whose multi-layer cop number is bounded from below by a constant times $n / \log n$, where $n$ is the number of vertices in the graph.