Dolphins don't actually steal anything. Even without the dolphins you still usually wouldn't get the item. The dolphins mostly steal the items that the pressure penalty would've prevented you from getting anyway.
In fact dolphins are a good thing as without them you wouldn't know that you could have gotten an item and they also provide a means to get that item back (by beating up the dolphin as DragonrageDragonrage explained).
If you aren't in hardcore you can buy sand dollars from the mall in order to get a dolphin whistle to get your items back.
A higher +item% will also help in avoiding the dolphins, as even without a pressure penalty there is still a chance for dolphins to appear.