I completely agree with Mikkel. 'Find' does not only refer to encountering objects - you can also 'find' that something is the case, as in 'I found that I slept better if I didn't drink coffee'.
There's nothing incorrect about the first sentence. I think it's perfectly normal to say 'I found the thief had broken in.' It simply means that I saw or realised this.
In fact, I'd even go as far as to say that it would be more natural to say 'found' rather than 'found out' in this context. 'Find', when followed by a clause, usually refers to a simple realisation of a fact. For example, if you get home and find your window smashed and your belongings missing, you might very well say 'I found the thief had broken in'.
'Found out', by contrast, often involves a third party - either a written source or another person. If you say 'I found out the thief had broken in', this suggests that somebody told you that this had happened.