As far as the Listen checks go, I would have had the PCs make one for the door opening (unless the oil on the hinges was magical, I would only allow a bonus, not automatic success in removing the hinge squeaks), and one for the thief sneaking across the floor.
I would have also rolled to see if a PC was awake for other reasons (could not sleep, reading, doing a Sudoku) and not allow the thief to know, for sure, with a simple Listen check...lots of people sleep without making any noise.
But the question was what to do now? Assuming that the PCs were sleeping in an inn in some sort of town or city, then their bodies will be discovered in the morning. The next game session could start with one of the PCs being questioned by a cleric using Speak with Dead. Once the authorities discover that a mass murderer in on the loose in their town, they may want to hunt him down. But their militia leaders are off somewhere else on official business, who could we get? Hmmmm. Why not make a deal with the dead PCs, cast raise dead on them, in exchange for a quest? A quest that is over and above finding their murderer. This gives the DM the chance to have the PCs take revenge, and sets them up for the next adventure.