Actually, doesn't a Khajiit say that in a quest in Oblivion?
I couldn't say.
I only remember there being dialogue with one or more Khajiit in Morrowind that delved into why the Khajiit often end up as thieves. I figure that their struggle to grasp the concept of ownership over objects is but one cultural difference of many compared to the rest of Tamriel (At least Men and Mer anyway).