To conclude whether or not "it makes sense" to compare Autolycus of The Winter's Tale with Puck of A Midsummer Night's Dream would depend on what kind of "sense" one wants to "make."
The comparison "makes sense" in that both figures are prominent characters in Shakespeare plays. It also "makes sense" in that they are both highly comic characters. Puck is as bold a mischief-maker as Autolycus is a thief and a rascal.
A crucial difference, however, is that Puck is a comic figure in the midst of a comedy, whereas Autolycus is one in the midst of a "romance" (or "autumnal" work). Puck does not represent comic relief in his dream of midsummer the way Autolycus must in his tale of winter. If Puck is not funny, there are the humorous actions of the lovers and the foolish antics of the "mechanicals" to provide laughter. If Autolycus isn't funny, the audience of The Winter's Tale is in for a somber evening.
Another difference is that Puck is not human. When he crows to Oberon, "Lord, what fools these mortals be!" (act III, scene 2, line 115), he is exempt from the censure; Autolycus, a mere "mortal" is not.
And yet, there is another crucial similarity between the two: neither Puck nor Autolycus faces any serious consequences regarding his actions. Puck is reprimanded from time to time, but he is not punished for his mischief. Autolycus may experience an occasional fear of exposure, but in the end he thrives as well as survives. Both characters live lives of single-focusedness - Puck in the quest of fun, Autolycus in the quest of money. They both succeed far more than they fail.