Element of doubt in "Piensan que"

Question

There could be an element of doubt in "Piensan que"

Would you use subjunctive to translate?

They think that the missing jewels might have been stolen but they are not sure.

She might have left them at the hotel.

Answer

Hola Ian,
There is indeed an element of doubt in "piensan que..." making us think that this would trigger the subjunctive; however in our mind (as natives) we think of "Creo que..." and "Pienso que.." more as "declarations", not doubt. This is why these constructions are always taught as kind of exceptions to the rule. 
Even if you keep adding elements of doubt to the whole sentence like you did here:
"They think that the missing jewels might have been stolen but they are not sure." There is no subjunctive at all required. This would be:
"Piensan que las joyas desaparecidas podrían haber sido robadas, pero no están seguros."
No subjunctive there at all. 
If we change the introductory clause to a negative, this would definitely trigger it:

"They don't think that the missing jewels have been stolen."
"No piensan que las joyas desaparecidas hayan sido robadas."

I hope this helped.
Inma

Answer

Your explanation, Inma, makes perfect sense. However, it would be nice if this explanation were part of the lesson so that I could have avoided getting a wrong answer, as this explanation is not at all intuitive.