First of all, attempt is used as a noun and it collocates with the following:
The meaning is to try to do sth, especially sth difficult/new.
- to make an attempt (made no attempt)
- an attempt to do sth (no attempt to catch.../to call..)
And in your sentence, "I made no attempt to catch the thief or to call for help" basically means "I didn't try to catch the thief; I didn't try to call for help [probably because I was frightened]".