The theme of any story is the main idea that the author is trying to get across to the reader. Most stories have multiple themes.
This story is concerned with themes of absurdity and the supernatural. Thurber is a comedic writer who often deals with themes and ideas as they relate to absurdity. Aside from this, the primary theme of the story is that of the defiance of man to change. The characters in the story want safety and consistency. They are threatened by the world outside their home, and stand in defiance of those forces.
One of the central themes of this story is paranoia. When then narrator hears footsteps downstairs, he immediately suspects that an intruder has broken into the family home. His mother wakes up, becomes "all excited" and alerts the neighbors, the Bodwells, to call the police. Mrs. Bodwell's reaction to the news is also one of hysterical paranoia: she says they ought to sell the house and move away.
When the police arrive, their reaction is also one of paranoia. They accuse the narrator, for instance, of being a criminal and demand to know what he is doing at the house. Similarly, the police are "all over the place" as they search for an intruder, literally leaving no stone unturned.
The narrator's grandfather also reacts to these events with some paranoia. He believes that the police are "deserters" from the army and tries to fend off the narrator, believing too that he is a part of his paranoid nightmare.
While much of this paranoia is tinged with instances of comedy, like the narrator's mother throwing the shoe, it also has important consequences. Specifically, it prompts the narrator to believe that the footsteps he heard must be those of a ghost. Like the intruder, this supernatural paranoia has no factual basis, leaving the reader to wonder what really happened that night and, therefore, creating a deeper sense of mystery.
For more themes in this story, take a look at the reference link provided.