I agree with what Ruthi said :)
They are very very similar. I'd also say that when I think of the word "sense" I think of noticing something in a general way that is a little less conscious, like a feeling. When I think of "perceive" I think of noticing something in an intentional and specific way, like thinking.
To me, "I sensed that pickpocket in the crowd" sounds better. Maybe you didn't notice the pickpocket with your eyes or your ears but you had a feeling that the pickpocket was there.
I hope that helps! :)