Man, that thief must have been bored to be stalking someone at the Andaria Gate. There are tons of neat places you can escape to via rope so I don't think it's against the rules or anything because you can always just rope up to him as well.
Although, it's usually better to just to leave the area and go farm somewhere else or thief-proof your backpack better. It's very difficult to chase down and kill someone who is properly prepared for it.