Jimmy did not disturb Christopher Lee and their investigation, he simply followed beside them, wearing disposable gloves to prevent his fingerprints from contaminating the scene. But he didn't quite believe Lee's inference; there might be something else going on here.
Based on the current situation, Lee's previous statement actually makes sense — a burglary, discovered and then a fight with the security, shots fired, escaping into the crowd and out of the villa.
However, there's an issue with the thieves; having external support is normal, there should be an intelligence monitor inside the villa or outside to keep watch, and then one or two will enter the villa to find what they're after.
Furthermore, it shouldn't have escalated to a shootout in such circumstances; there's a dinner party going on here, with celebrities, wealthy individuals, and politicians present. In an environment like this, normal thieves definitely wouldn't resort to shooting.
