Committing illegal acts may raise your Wanted level. A red circle will appear on the mini-map indicating the last place the main character was spotted. While you are inside that circle, you will be permanently Wanted. You should try your best to leave the red circle and hide immediately.

If you are noticed by the cops at any point while Wanted, the red circle position will instead be set to your current position. Time spent hiding outside of the red circle will clear your Wanted level. Visiting special markers will also allow you to drop your Wanted level by watching an ad. Do not draw attention to yourself when outside of the Wanted circle.

Note that higher Wanted levels are more difficult to escape. Also, some in-game features are blocked when you're Wanted.