It appears that the person he spoke to was a private security guard at the entrance of the market, but that no report of the theft was made to the GNR.
Regarding risk, the situation regarding pickpockets over the last year has decreased considerably in Portugal (most likely due to Covid-19) from around 10,000 cases in 2019 to just over 3,000 last year. In so far as the Algarve is concerned, the decrease was from around 600 to just over 200. In Albufeira for instance it decreased from 199 in 2019 to 38 in 2020, mainly due to the absence of tourists.
I have spoken with GNR Loule and as far as Quarteira is concerned, in the last 3 months the number of reported pickpocketing cases is two, one near a beach and the other at the produce market, where money was stolen from a bag. Given the large number of people who attend this market, the risk is therefore very low.
There is certainly no reason to boycott the market as your correspondent suggests.
Pickpockets chose their victims carefully and in any crowded place, it is important to take steps to safeguard your property, as one would anywhere. In markets, some of the common security lapses we have found includes: people displaying large wads of banknotes; placing their wallets and handbags on stalls, carrying handbags which are open with contents visible for example. Criminals look out for opportunities such as these and this is not just confined to markets. We have more prevention steps on our website: www.safecommunitiesportugal.com
Should you become a victim of crime this should be reported to the police in order that they are aware and appropriate action can be taken accordingly.