Who said anything about thieves? One can break and enter without taking a single thing, technically.

[He's careful about admitting any sort of intention just now, although he's not getting the since that Chara is extremely loyal to the Emperor. That's confirmed a moment later, or at least claimed.]

If you're suggesting that he's listening, I suppose enough has been heard already to be considered incriminating. A warning to one curious and nosy would hardly add to that impression.