Is a comma the correct punctuation in "Help a thief?"

Recently, one of my friends on Facebook posted this cartoon in which a police officer helps a thief in response to the exclamation "Help a thief!" The contention is that the victim should have used a comma. However, in my eyes, a comma does not seem appropriate. Rather, I would expect an exclamation point, period, or colon.

Is a comma correct for this situation?

Yes. A comma is often used to set an exclamation apart from the remainder of the sentence.

Boy, that really hurt.

You are correct in offering an exclamation point and period as alternatives. The former would emphasize the tone. The latter would be correct, but a bit understated.

A colon does not make much sense. The material following a colon is generally definitional of the material preceding. It might work of your statement were

Danger: a thief!

Logical, but somewhat pedantic.

The cartoon is reminiscent of the popular book discussing grammar, Eats, Shoots & Leaves.