I wouldn't consider it them showing you up. As a matter of fact, if anything, it sounds more to me like they're helping you. Phantom Thieves in the books and movies always flaunt the things they steal to the police's face and make fun of them, but it doesn't sound like these people have made fun of the law very much, have they?

They're probably people that want to help. If anything, I would consider it them assisting you.