There's a certain class of thief that seems to go around in the warmer months and simply try car doors until they find one unlocked, at which point they take whatever they can find of value that's easily accessible.
I had this happen to one of my vehicles when I foolishly forgot to lock the door. I don't keep firearms in my vehicle overnight, so at least that wasn't an issue. I have to think these particular thieves were pretty dumb, since they left behind a Jetbeam flashlight and a Leatherman wave, but did take the $10 tactical folding knife I received free with an order from CDNN.
Clearly, if a thief really wants in they are going to get in, but at least locking your car doors provides one hurdle. From talking with a Sheriff's Deputy afterwords, the pattern for the thieves who hit my car is fairly standard. They don't break anything and they don't spend time tearing out stereos, they just rifle through vehicles with unlocked doors.