I had that happen to me too. Just not for a sweet roll..... I was practicing pickpocketing, did NOT get caught. Lifted 19GP off a guard near one of the shops in Whiterun and went my merry way. Shortly after I got the same message. Was wonder what was up with that since I was successful. Maybe it was another occurance, but that was all I could think of.
The guard was rich for sure. Had paid the hired thugs 100 each to teach me a lesson.
Thats a problem skyrim has; any undetected theft or murder seems to be detected by unknown beings eventually with all the threat notes and all that. Example: I murdered Braith of whiterun or something, without being detected by anyone and not incurring a bounty. A few days later i get the thug event, with the note indicating that braith's mother initiated the bounty hunt.
Which is total [censored] since no one saw me AT ALL. We went from psychic guards in oblivion to psychic everyone in skyrim.

Sure, this adds variety to the game and whatnot, i was pleasantly surprised about this thug event when i first encountered it. Although the ridiculousness of the event as you continue playing the game makes it annoying. Not to mention all the "PSST I KNOW WHO YOU ARE HAIL SITHIS WEWT!!!111!!!" Totally makes you feel like a failed assassin/sneak player even though no one detected you
