My solution to that is to just not keep anything valuable in the car and leave it unlocked. After getting my car window smashed in twice for the thieves to not find anything other than trash I decided this was a better system and haven't had a problem since. For all I know people have rummaged around my car but I don't have to deal with damages anymore.
My ideal anti-theft device would be a mode where the car is unlocked but the alarm goes off if you try to open the door.