Is your thief by any chance wearing armor greater than studded leather? Like chain, splint or plate mail? Stealth and thieving skills are only usable when the thief is wearing either leather, studded leather or no armor at all. The level of proficiency doesn't play a role in the usability of the skills, only in the rate of success. You can try to pick a lock with only 1% skill - you probably won't succeed, but nothing will stop you from trying.
BTW - as an addition to Cyril's explanation of the buttons, the 'thieving' button activates pocket-picking, lockpicking and trap-disarming. Which you do depends on where you click - click an NPC and the cursor will change to a purse, enabling pocket-picking; click on a locked container and the cursor will change to a padlock enabling lockpicking; click on a detected trap and the cursor will change to a bear-trap enabling, you guessed it, trap-disarming. Don't know whether or not you understood this already, but since Cyril didn't mention it, I thought I should.
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