Oh, wait, that was it?
I was thinking that would be the intro, with a lot more video following.

This seems to be a recurring problem for you, and should be addressed before you can continue developing your stop-motion skills. Your longest video (Lego Dishonored) sorta kinda has a story, but is also plagued by black screens, which break up the action, and only work well when used sparingly. You wouldn't mind trying to make something over a minute long would you?

I think if you slowed down the pacing, and had a more involved plot, your videos would be much more highly regarded.

For example, with this short, you could have lengthened the clip of him sighing and leaning over, then had him slowly walk out into a different set, and turn himself in into the security guard. You could have also added a clip or two at he start showing him planning the heist and getting into the museum. His disappointment at not getting the jewel would have then been felt by the viewers a bit more.

Throwing in those few scenes would have not only have fleshed out the thief's character, but gave the audience something of more substance and value. Also, those wouldn't have taken that long to film/edit, so the release date wouldn't have been put back that much.
 
While the set is a bit plain, I like the wall design. It gives a sense of being in a much bigger, more expansive room.
The minifigure design isn't very "robbery" and the face really ruins the design. I understand that you wanted to convey the fact that he is a bungling horrible thief that can't even break the glass. But giving him a more thief-like wardrobe would have helped the viewers to identify him quicker, and that's important in a short this....Short.

There are a few other things that I would have fixed, but in the long run, I think the length and run time of the short (And yours in general) is one of the more important issues.

Fixing that would help your audience, and will also help reviewers considerably.