You can avoid that using Anti-Theft skill. Technically, Gypsies also like shiny minerals, so you can take some of those in your inventory (Dragonite, Lightcrystal, Nocacrystal etc.) and he will stole that before everything else, like Melynx with Felvine. At least is used to be that way, never tried on 4U. Oh, and I know how much boring capture quests can be...