You still leave that trail behind you .... they know you've been using the proxy even if they can't see the data without requesting it from the anonymising service.... therefore a means to track you down still exists.
That might be true if you use a proxy in say UK or US, but if you are that paranoid you will use a proxy chain that uses at least 2 in places like Rumania or the Ukraine who are unlikely to co-operate with western police.