I could see at least three ways this could work: In a magical setting, “I am merely an illusion cast by the real threat who is now using this opportunity to get past. My actions and words are a result of your subconscious warring with their mind, and because of your incredible will power, you are winning. You need to stop them before they can completely ensnare your mind.”

In a more general setting, just gas light them into believing that they are hallucinating due to bad/poisoned food or exhaustion, this is actually a near death experience and they never walked away from that accident 3 years ago (and if they don’t remember “the accident”, say that is part of the problem. They’re obviously repressing the memory to hold onto the notion that they still have working legs. Why do you think you became a guard, patrolling around all day on their feet?), or that they are crazy.

For all of those, the key points could be

“Would a real intruder be this calm about getting caught?”

(not for the magic one) “You’ve been at this job how long? You seriously believe that on tonight of all nights you of all people would happen to find an intruder?”

And then as a final, last ditch effort “do you really get paid enough to care about me doing whatever the hell petty theivery I plan on doing? Think about how much effort it will be if you ACTUALLY go through with capturing me.”…