The first thing I thought of was ghosts? All these things you are running from and trying not to be assaulted, etc., now your sheet is stolen. If this were my dream, I would be a little angry at myself that this had happened (instead of afraid) and would want to find the guy and get it back. I'd be a little embarrassed that I was not even willing to protect my sheet? But sheets remind me of how we use to make ghosts for Halloween when we were kids? And your dreams keep trying to provoke you and get you do do something and make it as easy as possible/told you the threats were "fake" like the kid with a sheet claiming to be a ghost? You call the police

Or, maybe it was your own disguise, you think you're a ghost but your sheet's been stolen and "You" are there with no excuse? Depending on your sense of humor and if it is warped like mine, perhaps you are thinking "Holy sheet!"? It could be a stand in for another word or symbol? (not to be confused with holey sheet :-) Any sense of, "you made your bed so now you have to lie in it. . . wait a minute, my sheet's been stolen!"?