There are two references in the New Testament to the Lord coming as a "thief". Unfortunately, most scholars, unfamiliar with Jewish culture and traditions, lump these two references into one, declaring that they both carry the same meaning. However, this is not true. The two references are actually very different, and we need to see the differences to understand what Jesus was communicating in each case.
Reference 1: 1st Thessalonians 5:2 and 2nd Peter 3:10 both refer to the coming of the Lord (the 2nd Coming) as "a thief in the night". This is a reference to one of the traditions of the Jewish marriage practices as celebrated in the 1st century, where the Groom comes to "retrieve" his Bride at an unexpected moment (usually in the night) to take her to their new home. This is the usual explanation given by scholars, who relate it to the unexpectedness of the Rapture, and the fact that Our Groom (Jesus) will come suddenly to retrieve His Bride (the Church). This sudden reunion will be a time of joy, and is to be looked for with expectation.
However, the second reference, found in Revelation 16:15, is quite different.
Reference 2: This reference reads, "?Behold, I am coming as a thief. Blessed is he who watches, and keeps his garments, lest he walk naked and they see his shame.?"
This "coming" is NOT a time of joy and "wedded bliss". It refers to a completely different practice that occurred in the Temple. During the night watches, members of the priesthood were appointed to guard the Temple (so no unclean person or Gentile would enter, defiling it), and to insure that the fire in the brazen altar was kept lit (it was supposed to burn 24 hours a day). The captain of the guard (or sometimes the High Priest himself) would inspect at random intervals, usually during the two latest "watches" of the night, to make sure that the guards were awake and on duty, and that the priest charged with tending the brazen altar had kept the fire burning properly. If he found a guard asleep, or if the fire tender was asleep, he would awaken them in a rather severe manner, described below.
Clarke's Bible Commentary - The Gospel of Luke
In the same Talmudic tract it is said, "The ruler of the mountain of the temple (i.e. captain of the temple) takes his walks through every watch with torches lighted before him: if he found any upon the watch, that was not standing on his feet, he said, Peace be with thee: but if he found him sleeping, he struck him with a stick, and he might also burn his clothes. And when it was said by others, "What noise is that in the court? the answer was, It is the noise of a Levite under correction, whose garments they are burning, because he slept upon his watch. This custom casts light on Revelation 16:15: Behold, I come as a thief: blessed is he that watcheth, and keepeth his garments, lest he walk naked, and they see his shame.
Edersheim - The Temple And Its' Services
Perhaps one of the most striking instances of this kind is afforded by the words quoted at the head of this chapter - "Blessed is he that watcheth, and keepeth his garments." They literally describe, as we learn from the Rabbis, the punishment awarded to the Temple-guards if found asleep at their posts; and the Rabbinical account of it is curiously confirmed by the somewhat naive confession of one of their number, that on a certain occasion his own maternal uncle had actually undergone the punishment of having his clothes set on fire by the captain of the Temple as he went his rounds at night.
The Lord has commissioned all Christians as "priests", as seen in Revelation 1:4-6, and as such, we have a requirement to remain awake, watchful, and engaged in the performance of our duty at all times. For us to "fall asleep", that is, to let the cares and concerns of this world or of our own personal lives pull us away from putting "the Kingdom of God, and His righteousness" first in ALL things, is a shame that merits rebuke and censure. When the captain of the guard or the High Priest found a priest who was asleep on duty, they would set his clothes on fire. When we remember that the priests wore linen garments, we understand that this would be a sudden and unpleasant awakening for the lazy priest. He would jump to his feet screaming, rip his blazing garment from around his body, and then have to stand in front of his commander clad only in his undergarment (highly embarrassing!). He then would be sent home in shame. He would still be a priest, and would still be able to serve on his next "rotation" in the Temple, but he would be highly embarrassed by his lack of watchfulness. Notice that THIS is the meaning of what Jesus says in Revelation 16:15, as He admonishes His People to be watchful, and to not be fooled by the false world religions, the anti-christ, and so on. We are called to be "on duty", and to be aware of what is going on around us at all times, particularly as we see the End Times approaching. Although our salvation is not at question, we want to avoid the embarrassment and censure of putting OUR High Priest in the position of having to "get our attention".