In NYC it's common to have racks stolen, even locked ones; the guy that owned my Honda before me had two racks stolen off of it. Stand on the roof, hit the clips to the side, presto. Thieves don't care how your car looks after they remove the rack.

In CT I've never heard of anyone getting their rack stolen, at least if it's locked.

Locks keep opportunists and dumb thieves honest. Pros will take your rack if they want it.