As they say.....if they want it they will take it some way or another. I have a friend who had his Jag stolen form a circuit paddock. Just roll up with a racing car box and winch it in. Nobody challenged. He now has security items installed in his replacement
It does bring to mind having adequate insurance and an agreed value. As TT says you need balance to make sure that the inconvenience doesn't outweigh the benefit.
If it gets to the point where you worry too much, it makes using the car less enjoyable.