Yup. It happens.

There are special saddle cables that go through the rails and seatstays and get locked up similar to the larger security cable.

Or you can use a bit of bike chain wrapped in old tube. Pass it through the saddle and stays and use your chain tool to link it back up.

A simpler technique is to just replace your QR seat skewer with an allen head bolt like all bikes used to use. It's not theft proof, though. A friend of mine had his completely thrashed 25 year-old Fuji saddle stolen even though it wasn't QR. I can only assume that the thief really wanted the post, because that saddle wasn't even worth $5.