In the unpatched game Finnigan's lockpicks were breakable (if you used Lockpick with them in your inventory) and would disappear if dropped directly on the ground. If they broke, installing the patch
places them back in Commander Kratus' desk/table to be re-stolen.
Some re-release versions of the game may already be updated to the latest 1.0034A version, as shown in the bottom right corner of the main menu, so would not need to be patched. The DVD version is already updated, and the patch (designed for the CD version) should not be installed.
However, if the game was started in the patched version of DD, or after installing the patch, Finnigan's lockpicks are no longer breakable and can be dropped on the ground. Also, you can return the lockpicks to Finnigan to complete the quest, then buy them back.
If the patch was installed after the game was started, they are not breakable, but can not be dropped on the ground. In this case you can not buy back the lockpicks, so it is better (IMO) to leave the quest unfinished.
If you can not re-steal the lockpicks, use the procedure in the following topic to replace them (ignore the first reference to Finnigan's lockpicks which directs you to another topic/method, as of the 1.34 patch, this is the best way to replace them);Lost Items - guide and directory of inventory files