That is one of the many items added to the loot table specifically for the Justice System. It, along with many things like it, was added for the sole reason of selling to fences. The reason for the warning is that anything you sell to fences can't be bought back from the buyback tab, and it is possible to loot blue (and purple) items like recipes and motifs. The items like the one you found have no value anywhere except for making money from stealing. If you launder it, the only thing you can do with it is sell it for the same cost you laundered it for. So unless you want to raise your Legerdemain skill twice - once for laundering it and once for selling it - you will lose out if you launder it then try to sell it. So in a nutshell, just sell it

edit: Now that I think about it, if you laundered it, THEN sold it, you'd still only raise your legerdemain skill once - for laundering stolen goods. When you sell a laundered item it's no longer considered stolen for the skill increase.