Ben Aaronovitchs novels such as "Whispers Under Ground" are set in London with the River Thames featuring in them quite prominently.
A quirk of London vernacular is to talk about things being on one side of the River Thames or the other, the North or the South.
For example:
The arts and theatre complex built in London the Southbankcentre
There is a sense of rivalry between those who live on the Northbank home of the Cities of London and Westminster with their Cathedrals, Government buildings, Buckingham Palace and Finacial Institutions and the Southbank seen as more of a working class area with places like Vauxhall, Elephant and Castle and Southwark.
The Fox is saying to Abigail and Peter that are on the wrong side of the River Thames, although there are other rivers like the Fleet and the Lee ( or Lea if you must spell it incorrectly) there is only one river in London.
I don't know if it comes up,again in the series, but it's a very common idea in the way Londoners think of the geography of the city.