Atren, if a thief finds a locked heavy duty door inside the home, that means there must be something important behind it, so it gives them more determination to find out what is behind it. You are over thinking this way out of proportion. BTW, a locked window or door is only there to keep honest people out.
Thieves are on going to go through a wall at say a strip mall to get into a store, such as a jewelry store, or pawn shop that they know has a large stash of cash. They are not going to walk into a home and say "Hey, they must have a lot of good stereo equipment in here."