I've looked for robbers after such a prompt in the past, without finding anything in mires (walking back and forth on the zoomed in map), and now I received such a message as I left my homestead. I scoured the area on the zoomed in map back and forth to a depth of about 4 world map tiles, without finding any trace of them, either in person or in the form of tracks.
How far away are they supposed to be? It will be some rather uneasy sleeping in the near future, as well as tense trap checking routines (should I armor up to the best of my ability, or should I beggar down to only use worthless stuff and let them rob me so I know where they are? Dealing with robbers in spruce infested forests is a pain at the best of times...