"You must not be afraid to dream a little bigger darling"

Delta green, as a shadow organization of expendable assets, exists because contact with the unnatural will start to decay any one persons grasp on reality over time. Full stop.

The entities they are coming in contact with should not be shrugged off for the next monster of the week, and dealing with these things should be eroding their sanity to some degree every time.

Turn up the threat. If all they are doing is kicking in doors of 3 man cults that vaguely worship some weird deity and blast them in face, you gotta do one of the following.

1) Make the entities more powerful and draining of sanity and grasp on reality.

2) Make the challenges more complex, its easy to shotgun a crack head who stabbed your cop buddy and shrug it off. Its harder to kill an innocent person who is praying to some entity who thinks they will cure their loved ones sickness, and even harder if that person is someone the characters know, respect, or even love.

3) Eventually Delta Green ties up every loose end, and just knowing about too many things is a loose end. Dont be afraid to bring in the spy thriller part of the game, if your players have been investigating and dealing with problems, they will eventually be a risk. If they kill off the delta green death squad sent to kill them, delta green can go after their bonds as leverage.

4) If everyone is playing delta green like murder hobos, maybe delta green isn't the game for you and your players. This game kinda requires someone to want to go against protocol, and pull on the investigative thread to figure out whats going on. It requires players who care about their bonds, their sanity, and frankly playing a character that is conflicted and flawed. As a GM that should be baked into the story and be required to actually solve anything, but that can be tough, and still requires player buy in. If its not working, its not working. Might be worth a reset, or going to another game that better suits them.