Can you tell your bank you got scammed?

Excuse me, but I have a question. If someone were to fall victim to a cryptocurrency scam, would it be advisable to inform their bank? I understand that banks have strict policies regarding such matters, but I'm wondering if they would be able to assist in any way, perhaps by reversing the transaction or providing some form of protection for the victim. Would it be better to go straight to the authorities or should one first attempt to resolve the issue with their bank? Thank you for your time.