First, it’s not a gérondif here. The form for the latter is en + participe présent which is not what’s in the sentence. What you have here is a plain participe présent.
Then, I didn’t say that the sentence was wrong, just that it doesn’t “flow” naturally. I don’t think I’d ever say it like that, I’m not even sure I’d write it. You see, the participe présent is often replaced by another form, at least in spoken French. Consider these sentences (which I lifted from a French grammar site :o):
**- Les résultats concernant le concours sont publiés.
Les résultats qui concernent le concours sont publiés.
Les lots sont remis aux participants ayant gagné le jeu.
Les lots sont remis aux participants qui ont gagné le jeu.
L’agence recrute une stagiaire parlant le chinois.
L’agence recrute une stagiaire qui parle le chinois.**
The first instances have the participe présent and are not something that I’d say spontaneously. I’m much more likely to use the second possibility. The first examples would be fine in writing.
Now to nitpick, repeating your sentence in my head, there might be a slight difference in meaning.
- Nous n’avons rien vu d’inhabituel, rien n’indiquait des pickpockets aux alentours.
Could perhaps imply that although you didn’t see pickpockets, there were some in the vicinity. You came to a conclusion that turned out to be wrong. The imparfait, although implying duration, is a past tense after all.
- Nous n’avons rien vu d’inhabituel, rien n’indiquant des pickpockets aux alentours.
Could imply that, too but less decisively. The participe présent expresses a somewhat more permanent state.
Put it this way: sentence 1 would be ok as a conclusion but there could be more to the situation than initially thought. Sentence 2 might have a more “final” aspect to it (there were absolutely no pickpockets around).
I may be overthinking it, though.