Depends on the gaming universe. Some games have rogues that are basically non-magical, some have them hybrids. In WoW, they've pretty much been established as a hybrid for a long time. As people have already mentioned, rogues have abilities like Cloak of Shadows and Shadowstep (Sub rogues even deal shadow damage), which are clearly magical in nature and not some acrobatic or athletic feat. Such abilities and attributes are not out of the realm of the ordinary even in other RPGs, heck some RPGs can have hybrid classes where rogues can be wizards/mages.