"Catch and Loot the pickpocket" is a mission objective in A Thief in the Market
Once you locate the pickpocket. They will run to the North, going around the Western side of the church and then running along the Northern side of it. If you go around the Western side of it and wait in the Stalking Zone, then the pickpocket will run right by you. Use High Profile to tackle him and then pickpocket him. He will be ducking into the same Stalking Zone.