The correct option is B vanished
An idiomatic expression is a type of informal English where the meaning
of the expression is different than the literal meaning of the
expression.
When the word 'vanished' is placed in the sentence, it forms an idiom: vanished into thin air. It means 'to disappear without leaving any trace'. It is relevant to the given statement, the thief disappears without leaving any clues behind, hence he was never seen again. So, option C is correct.
When the words 'evaporated', 'ran forward' and 'got lost' are used, they provide a literal meaning in each case. These literal meanings are quite impossible: a man evaporating, running into, or getting lost into thin air cannot be real.
Hence options A, B and D are incorrect.