Question: When Finn and Rose Tico were in the jail cell where they met the thief, why was the thief even there, if he could just easily escape with basically no effort?

Answer: 
He got himself arrested so the police would stop bothering him.
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Taken from p. 65 of *The Last Jedi Visual Dictionary*:

> 
> Already known to local authorities, **DJ purposely arranges his own arrest** for a petty crime. The jail is the only place he can grab some sleep with the assurance that he won't be pestered by the Canto Bight Police Department.
> 
> 
>
DJ has a strange gait, way of talking, and general attitude, so what happens later throws this into question a bit, but I got the very distinct impression that he was thrown in there as a drunk and was sleeping off the alcohol. Finn and Rose being noisy woke him up, so he decided it was time to go.