The chain should be fine. If it is a very expensive bike that is chained the same place every day, you might be tempting criminals. You should also consider a cheaper bike if theft is a real concern.
You might consider a folding bike you can bring indoors. Some of them are designed so you can roll them when they are folded.
There are lots of posts on anti theft strategy.
Last edited by geo8rge; 07-31-10 at 05:11 PM.
Reason: add info