It takes about 2 seconds for a burglar to open your locked car, even the "high security" ones can be done in less than 30 seconds. And with the right kind of burglars they just smash the glass if they think there's anything worth stealing in there. Car alarm? Who cares. A friend of mine got her car stripped of everything worth anything, in the centre of town at mid day. Alarm yelling. Thieves didn't care, they took their time and nobody reacted - why should they? Car alarms go off all the time.

Edit: Another friend deliberately leaves his car unlocked at all times, with no valuables inside (or even a car radio). He got fed up with the damage done by burglars. Now they can just open the car and check it for the non-existing valuables, without damaging anything.