Everyone leaves their locking nut key in the car, normally in the dash, centre console or the wheel well with the other tools. It takes half a second to put someones window through and grab from one of those locations. You check your car over and think nothing has gone missing, the thief must have been disturbed. Two weeks later, after you've stopped watching the car like a hawk, you wake up and the car is on bricks.
I'd rather they just stole the wheels so I only had to claim on my insurance once.