I've found the best way to make money is pick up ingredients in the wild, make potions and sell them.
Easy to find
Wild ingredients are easy to find. Or you can buy ingredients from many vendors. Avoid buying expensive ingredients like void salts, fire salts, daedra hearts etc. The return isn't worth the cost.
They're light
Most ingredients weigh little. If you make a lot of potions and can't sell them all, the potions also don't weigh a lot - 100 potions weigh about the same as 1 piece of heavy armor. Their value/weight ratio is high.
They sell for a lot
I regularly sell a 0.1 weight potion for $200. There are other items with higher value/weight ratios, but I can quickly make 10 of these with ingredients that aren't hard to find. This works best for invisibility, because you can sell it for squillions. I've made around 20k mostly from potions.
I have seen potions with values in the thousands!
It's good for your alchemy skill
It'll also help your alchemy skill, and as your alchemy skill gets higher, you'll make more valuable potions.
You'll always have potions
There's nothing worse than getting into a battle without the right potions. Having a few spare potions for health and magika on hand will help you a lot!
Win win win!
No, you cannot get robbed in Skyrim. If you are selling items maybe you have 10,000 and just misread. Or maybe you were accidentally buying items from the shop keeper instead of selling to them.
It's also possible it's a glitch, but I can assure you no one can steal from you in Skyrim.
Best Answer
You're misinterpreting things.
The value you receive when selling an item is a function of your relative Speechcraft skill against that of the Merchant. Thieves guild fences all have very high mercantile skill, and will give you poor prices compared to other merchants. If you visit every shopkeeper in town with your legit goods, you will notice a similar, though smaller variation in prices.
If you'd like to get a higher price for your stolen goods, invest a perk in the Fence ability near the top of the Speechcraft tree; you'll be able to sell your ill-gotten goods to other, less shrewd negotiators with that.