Once, we've had our bikes cleaned from lightly attached accessories (pumps, lights, computer head, clickstands, etc.). Happened in a large city's highly touristic location.

We have framelocks on our bikes, as is common in Europe. We find them enormously more convenient than u-locks/chains. We'll lock our bikes even if it is only for a quick run to the convenience store. Just requires activating the lock and taking the key off. Probably more at risk of losing a key while visiting some place -- we carry spares.