There had been questions about the authenticity of the stolen work. It seems Soviet experts in the 1950s confirmed the works authenticity, and it was restored in 2006. I'm completely unaware of the Soviet art-authentication track-record, but there at least seems to be some suspicion that these authenticators may have gotten it wrong, especially given some of the Soviet practices just a few years earlier in World War II. Perhaps an art historian knows whether Caravaggio might paint the same work twice? One could be a study or earlier version perhaps.
Lyudmila Saulenko, the museum's deputy director is quoted as saying:
"We came in here to find that the wind was blowing the blinds around through a window with no pane, ... And where the painting had hung we just saw its stretcher. The painting had been removed from its frame.... Thefts, of course, do occur in great museums like the Hermitage (in St Petersburg) or the Louvre (in Paris),... But the answer is to put in a truly effective alarm system and not postpone this."
It certainly appears as if the window was not terribly difficult to remove, and not a hard night's work given the reported $100 million USD value placed on the work, though that's a very speculative number, and the thieves certainly won't get more than a fraction of that kind of money I would imagine.