It's unclear what you mean by "gypsies", because this term is mostly used to describe vagabonds or other non-ethnical stereotypes. If you mean the Rromani people, I've looked the internet for awhile so try to find pages like this:
http://www.radoc.net/radoc.php?doc=art_d_identity_romancevsreality&lang=en&articles=true
In general outcasts from society have a hard time proving themselves to be anything but outcasts from society.
There are numerous derogatory tales about the Rromani people, and most come from non-Rromani basically dragging them in the dirt and then complaining about how dirty they look. (This is a common racist fallancy.)
It would be unreal if a people this persecuted would still be able to integrate themselves into society, have jobs, money, or be lawabiding citizens. Those few who steal do this because they are banned from shops in the first place.
In this context it is quite understandable that some Rromani do raise their children to be criminals in a criminal tradition, but this is still only a small minority of them, still bringing a great infamy and suspicion to the entire Romani people.
Apparently there is a Rromani folktale about "the fourth nail", which was the nail that were intended to have pierced Jesus heart or head (depending on the version). There are different versions, but the "moral" of most of these is that God gave them the right to steal and roam the land for aiding Jesus during his crucifixion.
Another one tale on the same subject blames the Rromani for making the nails for the crucifixion, in the same way that the jews are blamed for the actual crucifixion.