How's this for a good enough reason:

http://www.bikeforums.net/showthread.php?t=63736

Had that person been working on the bike for another minute they would have had a swift kick to the back of the head and I would still have my super sweet campy wheelset.

And yes - locking skewers will stop them, because short of sawing the frame in six places you aren't going to remove those wheels without a key.