These birds are VERY annoying to new players. When I was new I would try to avoid them if possible. To kill when you are new, aggro them, then when they swoop down to steal your stuff shoot your bow then collect the loot. I hear they are a good tame to have though, because of their hunt and retrieve ability.
I was attacked by one while mining flint and it stole my pick. Then it got my pike when I went to fight. That's when I noticed noticed that it didn't actually "steal" what was in my hand, but just disarmed me and dropped it in the ground. Check the ground and see if your stuff is there after they attack you. My pick was laying there near the spot of the initial attack.