LOL, my father never told me not to do this, and he was a cop until I was 10! Your father took you aside and told you not to do this before you were 15?
I was told this at one point during my teenage years. Don't remember the timing, exactly. But, yeah, I was told not to sneak around our house, or other people's houses at night, because it's a good way to get yourself shot. It wasn't the exact words, "Don't cover your face, dress up in black, and sneak around our house at night", but it was enough to get my attention.
It could be your dad figured you already had the sense not to do this.