There is such a thing, and I have it.
Check out www.pitlock.de
You could use pitlock/kryptonite for front wheel, seatpost, threadless headset etc.
For rear locknut, the options are limited. Pitlock has a locknut for rohloff hubs that fit 10mm (1mm pitch) axle of Dura Ace, Surly and Suzue's NJS (loose ball bearing one, not sealed one) hubs. I have these locking thingamagics but I have not used them yet. They are really badass (big, burly and all stainless).

If you have regular pitlock skewers, you can make your own locking 8mm nut for Phil and Paul hubs. Just use a hex head 8mm dia (1.25mm pitch) 40mm stainless nut and file out the head to fit the profile of pitlock wrench. 8mm shaft fits perfectly within the 'pit' of a regular pitlock skewer set.

However, remember that a thief with a hacksaw can saw off the fork (or stays) and steal the wheel.