It's generally interpreted as a warning about the unexpected suddeness of the Lord's return. Just as you cannot know when you might be robbed, you also cannot know when the Second Coming will occur. Compare 1 Thessalonians 5 for a parallel warning by Paul. We can note that Paul compares "the Day of the Lord" (and not Jesus Himself) to the thief in the night.
Additional insight is also provided by Matthew 7:24-27, another parable about a house destroyed due to the owner's unreadiness. If we take the house as the soul, the warning is that not having your "house in order" is to undergo a great risk. We also have John 10:8-10, where Jesus contrasts Himself with a "thief", who, in context, can be understood as a false prophet or teacher --and perhaps even as the Adversary (the devil).
In summary, the theme seems to be that the "Day of the Lord" will not be without dangers for the unprepared soul. I think we can take those dangers, spiritual and otherwise, as being the "thief" that one must prepare against.