Somehow or another, the PCs have agreed to try and discover the identity of the mysterious Queen of Thieves, a semi-legendary master thief, and bring her to justice.  Possibly some highly placed acquaintances calling in favors, or a secret mission for the king.  Or even just an announcement of a reward for information about the Queen of Thieves.  Whatever.  The PCs are looking for her, trying to collect any clues they can.
Now, needless to say, she’s got enough resources at her disposal to make discovering her identity well nigh impossible.  But when has the impossible ever stopped adventurers?  If they try hard enough, they could probably find the answer.
Only once they get it, they probably won’t want it.  See, the Queen of Thieves is a very influential figure.  Say, along the lines of a member of the Royal Family.  A cousin, daughter, sister, or maybe even wife of the current ruler.  Either way, it would probably be a VERY bad idea to make this common knowledge, because (A. No one will believe them.  (B. She’s not going to be happy if they reveal her, and has the capability of making thier lives (short as they may be) hell.  (C.  The king and the rest of the family will squash any attempt to reveal this information.  (D.  All of the above.
That’s not to say that they couldn’t try if they wanted to.  But if they discreetly share this information with the king, and promise to keep quiet about it, they may still get rewarded.

Of course, there’s always the obligatory Treacherous Advisor/Relative/Confidant/Servant who hears too much.  A tidbit like that would make for excellent blackmail fodder.  Naturally, if something does happen, the PCs will be the prime suspects because they certainly know.  This could result in another adventure to find the blackmailer/protect the royal family’s honor/clear their names and save their necks.