After the introduction, you need to head to the north and find the market area indicated by the large green circle on the map.

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As with other missions where you need to tackle your target, simply chase him down and press the tackle button.

Once you arrive, enter the green zone and turn on Eagle Vision. Look around until you spot the pickpocket target that we are after. As you do, the target will run off. Chase him down and tackle/assassinate/kill him. Loot or pickpocket him whilst he is down to complete the mission.