Because if you steal things from a bandit, who by definition steals things for a living, you'd have a stolen stolen item. This, as we all know, would create a paradox which would destroy the entire universe and part of Oklahoma. Therefore, it was decided that the best course of action was to simply disallow theft from bandits.
"He who fights with monsters should look to it that he himself does not become a monster...when you gaze long into the abyss the abyss also gazes into you..."