Hmm that's odd. What is the status saying when this happens?
I'm not sure, I'l keep testing.
Strange. Tested it and now it went to the bank but it got stuck on status "opening bank" with the bank screen open. I have lobsters in the first slot of my bank.
Oh, I think I've figured it out.
Let's say I'm using lobsters and it eats below 50%, (30 health for me)
The first time I hit below 30 HP and am out of lobsters it'll go to the bank, open up the bank screen and sit there until my health regens to 30 hp (status: opening bank). Then it'll thieve the master farmer until it falls below 30 hp again then it will sit there (status: "Pickpocketing master farmer"). and won't thieve again until it regens and won't try to bank again.