There have been lawsuits over those sorts of chemical smoke used in film and television production, and so "chemical" might well bring out the allergies complaint, the environmental complaint, and....
Yeah, class action attorneys. They will smell chub in the water. Like sharks....
Theatrical fog juice is composed of glycerine and water. Not harmful in the short or long term, though extremely long-term exposure may cause irritation of mucous membranes. Extended (multi-year) exposure to smoke and fog has been associated with both short-term and long-term respiratory health problems.
Personally, I don't think a thief who has been exposed for 30-60 minutes would have any case, but that wouldn't prevent a lawyer from pursuing a case.