A woman has thrown caution to the wind and pursued a thief who allegedly stole her purse at a sauna.

A dramatic incident played out at a sauna in St Petersburg, Russia when a n*ked woman chased after a thief who stole her purse.

According to a footage by Life.ru, the woman could be seen on CCTV barely covered running after the thief. As she comes out of the sauna, she met another woman who gave her the direction where the thief followed, and watch as the n*ked woman dashed off.

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It is unclear if she later recovered her purse, she later returned to the sauna.

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