Sean Avery -- Asked Cops for Favor After Calling Them "Fat Little Pigs"

Sean Avery has a brass set -- how else do you explain the fact he asked the police that arrested him for a favor ... right after he called them "fat little pigs"?

As TMZ first reported, the NHL star was arrested after he shoved a police officer who came to his house Thursday night after complaints of loud noise from his neighbor. During the arrest, Sean called the cops the aforementioned name ... and challenged them to a fight.

But get this ... law enforcement sources tell TMZ that when Avery was being released, he had a friend ask the officers if they would let Avery go out the back door ... so as to avoid

.

Law enforcement denied his request and treated him just like everyone else.