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.
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From my interpretation, DJ seemed to be bored before he encountered Finn and crew. He had a very relaxed demeanor, indicating that he wasn't stressed out about where he was at all because, as we find out, he could leave at any time.

I think he was probably captured after breaking in somewhere, possibly stealing something, and was locked up and possibly awaiting further processing. He also quite possibly could have been waiting for particular events to happen (changing of guards, casino slowing down for the night, etc.) before making his escape, and finding Finn and Rose accelerated his plans.