Rome, perhaps, but Rome's wealth and trade was not duplicated in the period under discussion. The Vigiles were watchmen, more focused upon spotting fires and keeping slaves & bottom-level freemen on the dole in line than what could be considered police work. You can see this from the fact that Rome had, until well into the Imperial period, only a very modest and improvised jail, which was only staffed when someone was incarcerated.Rome had to have police, as it had a thriving crime rate before the Empire; more so after. They combined the duties with the fire brigades until the Senate decided that they needed dedicated soldiery to enforce the laws, so the fire brigades could focus on just the fires.
Babylon and Assyria had soldiers on patrol to enforce the laws, too...
Anywhere you have the money to support a lord and his retinue, you have an economy strong enough for professional criminals. And not so professional raiding neighbors.
But the only time we get solid evidence about organized criminal organizations in documentary modes is when they get careless.
And remember, absence of evidence is not the same as evidence of absence.
The economy of a feudal state is insufficient to support an organization of urban thieves, and an absence of criminalization of gambling or prostitution means there is no need of criminals in either endeavor.
The evidence is clear: outside of a D&D setting, there is no economic basis for an urban thieves guild in a feudal state.