"Hey there," you say in your least menacing fashion. The thug looks unsure of what you're doing here. "Hey," he says with audible discomfort. Well, this seems to have gone okay so far. What's next?
Tell him to turn himself in. You can probably get more out of him if it's not just you trying. See if you can get him to take you to his base. There must be somewhere he's operating from, and this might give you more leads…or an opportunity to join him, if that's what you want. Just get him to tell you anything important he's aware of.