I heard some theory that sun may steal materials such as comets from neighbouring stars, is it true? But if is true, what is the primary source of those comets? Especially "who" creates them instead of steals them? And which stars are "willing" to bear our sun steals materials from it?
The primary source of comets for our solar system comes from the Oort Cloud, a smaller amount coming from the Kuiper belt. The Oort cloud is thought to have originated from the remnants of a proto-planetary disk. This paragraph explains this better:
The Oort cloud is thought to be a remnant of the original protoplanetary disc that formed around the Sun approximately 4.6 billion years ago. The most widely accepted hypothesis is that the Oort cloud's objects initially coalesced much closer to the Sun as part of the same process that formed the planets and minor planets, but that gravitational interaction with young gas giants such as Jupiter ejected the objects into extremely long elliptic or parabolic orbits. Recent research has been cited by NASA hypothesizing that a large number of Oort cloud objects are the product of an exchange of materials between the Sun and its sibling stars as they formed and drifted apart, and it is suggested that many — possibly the majority of — Oort cloud objects were not formed in close proximity to the Sun Simulations of the evolution of the Oort cloud from the beginnings of the Solar System to the present suggest that the cloud's mass peaked around 800 million years after formation, as the pace of accretion and collision slowed and depletion began to overtake supply.
It is likely that during the formation of most stars, comets are formed from the same gas and dust that the star and any planets it hosts were formed from. Extrapolating what we know and strongly believe about our own star, the Sun, it is likely that many or most stars have a cloud of comets around them analogous to our Oort-cloud (which hasn't been "proven," but is strongly suggested by observation of comets).
As stars orbit the galactic center, they pass by one another - sometimes extremely closely, sometimes not very close. During these encounters, the gravitational interactions will shake things up in the Oort-like clouds. In some cases, comets that are otherwise minding their own business, orbiting far from the star, will be kicked inward. Others will likely be ejected. Some of those ejected will eventually find themselves orbiting another star, and possibly falling inward for a close encounter with the star and any planets.
In the long run, it's likely that interstellar space is riddled with rogue comets. Many comets in our solar system may have come from there, and many of the comets formed around our sun have likely been flung off, in some cases to find new stars to orbit.
The prime candidate for the origin of interstellar comets, if any of those are around, are star systems which formed together with the Sun out of the same nebula collapsing into an open star cluster. Being captured from a Solar sibling might mean nothing more exotic than that. Same time of formation, same mixture of elements, same trajectory. That is more likely because they should've had similar movement as the Sun. A star capturing anything from another random star is very unlikely unless they begin with a similar movement.
Concerning capturing material in general, my user name here is local fluff because that is the puff of gas and dust through which the Solar System sails now in human times. Material ejected from active newborn stars in the so called Scorpius–Centaurus Association. But they don't throw any comet sized objects at us, just individual nucleus, atoms, molecules and dust grains drifting past us driven by the stellar winds.