Mice can squeeze through a hole the size of a cent and once in your roof, they will breed rapidly.
Also, Rats can do a lot of damage by burrowing through the thatch and chewing through plumbing, electric cables, etc. which can result in a fire.
They are persistent, destructive and if they have access to food sources and water, rats in thatched roofs are not easy to deal with. They will not come out, certainly not in winter. But if there is no water supply, they will attempt to get in and out of the thatch to find one.
Pine martins: can also do an enormous amount of damage to a roof very quickly burrowing through the roof and pushing out handfuls of material.
Insects: Thatched roofs also can become a haven for all sorts of unwelcome insects including Cluster flies and Wasps. Insects such as spiders live in thatch and are only a pest if you are scared of them.
Squirrels: are the most common thatch pest in the UK. The Squirrel enters via cables and branches close to roofs as it is very agile. It then burrows through the thatch and chews through cables.