Steal gold is the primary attack of a leprechaun. The usual effect of a leprechaun hitting is "Your purse feels lighter". The leprechaun is then teleported randomly to another part of the level, unless it is a no-teleport level.
There a several defenses to this attack, as listed in the leprechaun entry.
If you are polymorphed into a leprechaun, you must consider the trade-off between making a theft-teleport and escaping, or staying with your inventory (which is inevitably dropped on the floor apart from one or two choice items).