No, a wild Pokémon cannot steal a Mega Stone from your Pokémon using the move Thief.
Even though the move Thief normally steals the opponent's held item, there are specific exceptions:
Mega Stones are not affected by Thief (or other item-stealing moves like Trick, Covet, or Switcheroo).
The game designers likely did this to prevent a central part of a player's strategy (Mega Evolution) from being easily removed during battle.
In essence, your Mega Stone is safe from the clutches of a wild Pokémon's Thief attack.
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