We believe that Jesus comes for us like a thief in the night.

I Thessalonians 4:16 For the Lord himself shall descend from heaven with a shout, with the voice of the archangel, and with the trump of God: and the dead in Christ shall rise first:

  17 Then we which are alive and remain shall be caught up together with them in the clouds, to meet the Lord in the air: and so shall we ever be with the Lord.

  18 Wherefore comfort one another with these words.

I Thessalonians 5:1 But of the times and the seasons, brethren, ye have no need that I write unto you.

  2 For yourselves know perfectly that the day of the Lord so cometh as a thief in the night.

  3 For when they shall say, Peace and safety; then sudden destruction cometh upon them, as travail upon a woman with child; and they shall not escape.

  4 But ye, brethren, are not in darkness, that that day should overtake you as a thief.

Also, does not Jesus come as a thief for the second advent?

Revelation 16:14 For they are the spirits of devils, working miracles, which go forth unto the kings of the earth and of the whole world, to gather them to the battle of that great day of God Almighty.

  15 Behold, I come as a thief. Blessed is he that watcheth, and keepeth his garments, lest he walk naked, and they see his shame.

  16 And he gathered them together into a place called in the Hebrew tongue Armageddon.

Then, does the day of the LORD come as a thief after the thousand year kingdom?

II Peter 3:10 But the day of the Lord will come as a thief in the night; in the which the heavens shall pass away with a great noise, and the elements shall melt with fervent heat, the earth also and the works that are therein shall be burned up.