Because it is a work of artistic fiction, rather than an essay or a purely didactic story (like a fable, which might have a clear thesis), "Where Are You Going, Where Have You Been?" does not have a specific thesis. It is not an argument. Instead, various themes are developed.
If we had to impose a thesis statement on the story, based on actions, we might try the following:
Because the world is not what it seems to be, you have to be careful, especially when you are young.