So in your mind it wasn't very likely that the thief could escape? Then it sounds like maybe the thing to do is clarify the fiction more.
Player: I slip out of their grasp by moving fast and sliding out. That's Dex, right?
Me: Wait a sec, I don't think it's that simple. These guys already have a grip on you, you're pretty locked down, I don't think moving fast helps you. How're you using your speed and reflexes to get free?
Player: Hmm, okay, can Gregor see me?
Me: I don't know, Gregor, are you hanging around?
Other Player: Sure, the guards aren't after me.
Player: Okay, great. I give Gregor a wink and give a little nod to the guards. Then I'm going to play dumb and go along with them so that Gregor can club them once we're out of the market square and there's fewer people to see.
Obviously that's just one way it could happen. Maybe the player has some smart ideas on how to use his speed to slip free. Maybe he can talk his way out of it (though remember Parley requires leverage). Maybe he's stuck!
Remember that moves are triggered by the fiction. Just like it's not Hack and Slash to attack someone who isn't aware and able to defend themselves, it's not Defying Danger when there's no way you can avoid it or get out of it. If the guards are holding the thief well enough that speed and reflexes isn't enough to get him out there's no roll.