Haha. Damn imps anyways. The reason they are stealing those items, is because those items you have picked up are quest items. Meaning you use them to perform various quests throughout the land. So, if you pick a quest item up, in order for the quest to reset, all the items need to go back to where they originate from.
So pretty much most things laying on the ground you pick up, will be quest items. Just ask around to be sure.