The Burglars' Club by Henry Augustus Hering.  
'He's one of us,' the burglar explained. 'You see, we are men who have pretty well exhausted the pleasures of life. We've all been in the Army or the Navy, all of us are sportsmen, and we are bachelors; so there isn't much excitement left for us. We've started a Burglars' Club to help things on a bit. The entrance fee is a town burglary, the subject to be set by our president, and every other year each member has to keep up his subscription by a provincial line.'