If a kleptoblobby steals from you and you manage to kill it in the same turn with a counter attack, the blobby will not drop what he stole from you. I have seen this happen a lot of times with my DW Swords guy.
I've noticed some general bugs with these mobs that make them quite annoying. Before I knew what I was dealing with, I had one waltz up to me and steal from me three times in a row as I melee'd it. Since I keep my bolts in the first three slots, it stole all of my bolts. Upon death of the monster, it only returned the acid bolts I had in slot 1, completely ignoring the fact that it also stole a much larger stack of copper bolts and my bolt of mass destruction. Overall, I lost about 31 bolts. Not good.
Lucky you, earlier I lost a stack of approximately 230 cruelly barbed iron bolts to one. I got back the stack of 30 new bolts. Thankfully it didn't get to my stack of 200 cruelly barbed steel bolts, I'd have cried if I lost all of them.