The below description is taken from LEGO.com.
Itís the perfect crime!
When night falls over the city, the Jewel Thief is in her element. As the police patrol the streets below, her grappling gun takes her up to the roof. There, she easily deactivates the alarm system, cuts through the skylight glass, and lowers herself down to the security vault. Somersaulting through the laser grid, she skillfully cracks the locking code and escapes with the most valuable diamond inside, pausing only to give the guard dog a friendly scratch under the chin.
But thereís no point to a well-orchestrated theft if nobody knows that it was you who did it. Other famous burglars have their own signature calling cards that they leave at the scene of the crime, so sheís picked one that seems just right. What better to represent a Jewel Thief than a precious gem? Thatís why she always drops off the jewel she swiped in her last caper whenever she steals a new one!