The Potters did not know that Voldemort was after their son specifically, only that they were in general danger from the Death Eaters by being opposed to them and also active members in the Order of the Phoenix. At this time, they were hidden by the fidelius charm, which is some pretty serious magics: "As long as the Secret Keeper refused to speak, You-Know-Who could search the village where Lily and James were staying for years and never find them, not even if he had his nose pressed against their sitting room window!"

Voldemort only went for their son after Snape told him of Trelawney's prophecy, which was immediately after it was spoken, making very little time for McGonagall to inform Dumbledore and for the OotP to react. (Even supposing they could decipher the prophecy instantly.)

Also, the note from Dumbledore specifically says that James left the cloak in Dumbledore's possession before he died. (Maybe to prevent it from getting into Voldemort's hands.) This explains why the cloak was not available when then Potters needed it the most.