If you are sending out 20k to 50k thieves at a time, that small chance of catastrophic mission failure translates into a giant loss of units.  It takes a LONG time to make that many thieves, even with substantial sovereignty.

For this reason most "accomplished" thieves tend to split their attacks into smaller groups and therefore must attack less well-defended targets.

In addition, most large alliances and experienced players have methods of tracking attacking diplomats back to their home base.  I can only speak for my alliance, but we are successful in identifying the attacker at least 50% of the time for single attacks and virtually all the time if attacks are repeated.  If you do this to a large player or alliance, the consequences can be dire.  Most players who have alliances don't want to put their alliance in jeopardy by doing this; most players who are not in alliances have a sense of self-preservation that would also prevent them from doing so.

I'm not saying that thieving from large players can't be feasible, just that there are complexities that you may not have considered.  We are seeing more large-scale thieving than we had previously, but I think that the factors that I have outlined will limit the scope of such activity.

fun for whom?

I will say that if one is going to use thieves, it seems more "fun" to use them against other players of similar size.  A large player using this many thieves against another very large player might possibly be "fun" for both -- would depend on the other player.  Sounds like Createure is up for it.  Using them against even a medium-sized player ... not so much fun for the victim.

There are a number of large players with very less thief defense, but as Rill said, if you send 50,000 thieves together, they could still run into a band of 100 thieves and cause an epic failure. The chances for this are probably higher than you think. Thieving becomes profitable* if you split the thieves and attack many targets with smaller numbers (say 2000 or so). But again, that increases the likelihood of getting caught. Expect one in 12-15 thief missions to fail.

certainly no fun. I wouldn't like thieves coming to my cities. I don't enjoy spending time tracking diplos across the map. 

We recently had a number of thief attacks in our alliance with more than 12,000 thieves. No concentrated effort was made to track down the thieves. We thought the thief would get bored after some time and stop eventually, since we are not rich enough to hold his attention for long time