According to the text of mage hand legerdemain:
You can retrieve an object in a container worn or carried by another creature
Also according to the PHB Pg. 150 the crossbow bolt is listed under adventuring gear as ammunition. Thus it is not a weapon and could only be considered such if it is being wielded as an improvised weapon.
According to mage hand the limits of of the spell are:
The hand can't attack, activate magic items, or carry more than 10 pounds.
Retrieving a crossbow bolt does not fall into any of these categories, so the spell doesn't limit it's use for this explicitly.
Is a crossbow a container? According to Merriam-Webster online dictionary:
Container: one that contains: such as
a: a receptacle (such as a box or jar) for holding goods.
Contains: restrain, control.
When a crossbow is loaded the string is pulled back and locked into place. Then the bolt is lowered into a groove on the crossbow and slid back until the nock is firmly against the string. The bolt is usually held in place by a metal clip until it is fired. The clip is restraining the bolt and keeping it from falling off before it is fired. It does not lock the bolt in place since this would prevent the firing of the crossbow.
Thus, By the standard English definition a crossbow is both a weapon and a container.
Finally, if the crossbow is not a container then the bolt is just laying out unattended on top of the crossbow and the rules of mage hand do not limit the manipulation of the crossbow bolt.
Therefore, the spell does not restrict this use explicitly, the crossbow bolt is an object not a weapon, and the crossbow is a container being carried by a creature and the bolt is being contained by the crossbow not held by the creature. This use is fully supported by the text and the standard English definitions of the objects in question.
Also, something to note, if the enemy didn't notice the missing bolt before attempting to fire, dry firing a crossbow is generally a bad thing to do and can result in damage to the crossbow.