"By this time he had seen me, but the officer arrived at just the right time. He grabbed him and threw him up against a wall which was marvellous."
Cole, who is preparing for his new dance show Licence to Thrill, added: "Everything happened really fast.
"The adrenaline took over and I'm just really glad I saw it - some poor girl's day was about to be ruined. It is nice to be able to do something good."
Cartes Fierro, 41, of southeast London, admitted attempted theft and possession of cannabis when he appeared at Hammersmith Magistrates Court in west London earlier this week. He was jailed for 20 weeks for attempted theft.
On another occasion police were called to Waterloo station in south London after reports that passengers were fighting. In fact, it turned out to be a group of Japanese tourists who had caught a pickpocket red-handed and were struggling with him as they waited for police to arrive. A 41-year-old man was arrested and charged.
Figures released by police show the number of arrests for pickpocketing soared by 78 per cent during the Olympic period, compared to the previous year. A total of 34 suspects were arrested for pickpocketing on the rail and tube network between July 25 and August 12.