If I'm to be robbed, I want the opportunity to stop it there and then. I don't want to get home and discover I've lost something of great value. However if I was pickpocketed, I could chase down the crook and retrieve my stolen items. However this should not be overdone - if I'm getting pickpocketed every day, it would get old. It should be a fairly rare occurance, and not happen in areas well patrolled by guards, so if one wanted to avoid areas where crime is rife they could.
I like this. ^ That would really add to the effect of different cities (for example the waterfront district/bravil)
Perhaps there should be a dice roll before you enter your house every time (level, cost of house, certain skills, how long you've been gone, how many guards) and if the number's right, you'll walk in on a band of thieves.