Steal is Therion's Path Action in Octopath Traveler. This ability allows Therion to obtain special items from townsfolk by stealing them. This includes items not sold in stores as well as items that might come in useful. This Path Action is the rogue counterpart to Tressa's Path Action, Purchase. The items obtainable from both Steal and Purchase are the same.
Items that can be obtained with Steal include rare items or powerful weapons. Each item has a percentage of success. This chance will generally be lower the more valuable the item is. If you fail to steal the item, your reputation in the current town will drop. During battle, the steal action also serves as a way to asses an enemy's current HP--the displayed percentage to succeed will increase as their health drops.