A guy with a battery powered carbide angle grinder walks up to your very expensive cycle, with a very expensive U-lock, cuts through it in 30 seconds and walks off, leaving the lock in two pieces on the ground. A minute later another guy wanders past, sees a bike which is unlocked, and rides away.
The 1st guy broke a lock. The second rode off with an unattached bike.
A third sells it.

Another scenario for U-locks is: you lock it onto the strongest part of your bike and the bike rack.
No need for a crow bar or even bolt cutters to break this bolt which weighs half that of the cycle.
All the thief does is pick up the bike and turn the entire bike around, using the leverage afforded by the cycle's frame length to warp the U-arms, then break the locks out.
Moral, especially if you have 'cheap' u-locks, attach them to the weakest part of your cycle and the cycle rack. That way a thief will realize in advance he will most likely break the bike before the lock - and he wants a quick buck, not repair bills.

The bottom line sadly is however: if they want it bad enough, they've got it.