The myth is about an NPC usually acting like any normal car thief. However, the NPC disappears after jacking a car. It was also noted that the jacked driver may disappear as well.
It is highly likely that this may happen due to the draw distance. If an NPC is far from the player, their model disappears to boost up the game's performance. However, the instance of an NPC is still present, along with all the actions they were doing. If the player quickly goes to the crime scene, the game engine wouldn't have enough time to re-render the model, thus giving an impression of a ghost.