The thief had originally planned to steal things from the Zen Master. However, the Zen Master had given away his clothes on his back to the thief instead to save the thief. When things are given as gifts, they are not stolen. Hence the thief will avoid creating the negative karma of stealing.
From another perspective, the Zen Master was grateful to the thief for the opportunity to practise compassion, generosity and detachment.
When we are born into this world, we use our body as a temporary abode. This body is abandoned upon death. Only our mind travels to the next realm of existence in samsara. Likewise, we have to totally leave behind all the things and possessions in this world upon death. Hence the Zen Master who had realized this, had happily given away his belongings to the thief.
Why do we feel it is so difficult to give sometimes, even if we can afford it?
This is simply because we are too attached to our possessions. The other reason is that we are very miserly!
Or we give a little but feel "bad" for giving so little.
We felt bad simply because even though we had given something our ego is concerned with its reputation! Our ego is concerned with how well we had given.
Is it because we feel too poor, or we just don't like the feeling of "losing" something or having less of something?
The feeling of poverty is due to our past habituation of not practising generosity. When we don’t give, we will not receive. Hence we remain poor or become poorer and poorer. Eventually we don’t like to lose things because we don’t have many things in our possessions!