This is a gaming term for someone that has the occupation of taking stuff from others. This is not generally considered a respectable occupation, but neither is killing which is what most of the other characters do. It depends on the game as to what abilities a thief might have and their status in the world at large.
Historic information: It should be noted that part of the definition of thief is: "especially one who steals secretly and without using force." (The World Book Dictionary) Thieves in history thus could have a good reputation as most did not know that they were thieves (until caught), and then all that was lost was material wealth. Respectable people also tended to finance thieves as non-destructive means of changing balances of power. A thief could thus be a honored profession.
The early editions of the game Dungeons and Dragons were not afraid of using this term. Thieving was never considered a respectable occupation, but neither was murder which is what other classes, such as fighters, usually did. Taking something without combat was often however a better option, and the Thief class allowed this possibility. The modern Rogue may or may not be a Thief, but might simply be someone that murders another from the rear (backstab -- which the original D&D Thief could do, but not with the ease of the 3ed Rogue). The D&D game actually sunk in respectability by losing the Thief class.