Lokir did not die on that day, just played dead as any sensible rogue would have done. Now he is very upset and looking for revenge. Beware.
N.B. You will not meet Lokir in person but you will get a souvenir.
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Changelogs
Version 1.0
Original version
Spoilers, but whatever.
After "Before The Storm" is past its stage 100 (you have reached Whiterun) and after you have bought a horse there is a chance (it is 100% by default but fell free to change the global variable) that Lokir would steal it. And he will send you a farewell letter.
All of this will happen at most one time.
Technically the horse will die, so that a replacement could spawn.