This issue just came up in Serotta forums- I think theft varies and the west coast is much worse. I do leave bikes locked, including some a good deal nicer than the Pinarello you mentioned, and have yet to have a problem. So long as you lock it with a quality u-bolt, cable the wheels, and don't leave it over night...you're usually OK. I've seen TONS of high end bikes locked up around Philly...Bilenkys, Curtis Wright, Merckx, Rivendell, you name it.
This bike was left abandoned in North Philadelphia, at Temple U, for MONTHS:
