I can take my iPhone easily with me every time I leave my car. The same can't be said for an aftermarket head unit.
Thieves don't know how valuable the aftermarket car stereo is when they see either its faceplate or a blank area where the faceplate will go. They just think it's more valuable than a stock stereo of little value that won't fit right, look right or work in most other cars. For them, it's something they pawn, barter or sell to feed their drug addiction or whatever the hell else they do.
The last time someone broke into my car, I accidentally left a fanny pack in the back seat at 2:40 am parked in front of a house valued at $1.4 million per zillow.com. Within 30 minutes, someone smashed my window, stealing the fanny pack containing an old Pocket PC, iPod Shuffle, Jawbone BT headset, and my cell phone. My FM transmitter wasn't taken.
It was no fun to driving around for w/a smashed window for days until I was able to get it fixed, calling around for price quote and open glass repair places, and spending $200 fixing it.
I'd personally love to get a better head unit and better speakers then the stock junk in my other car (aforementioned 350Z w/no audio input jack) and would if there were no such thing as theft. Having had my cars broken into twice so far (first time was for a stereo) and knowing others who've been victimized is deterrent.
When your car w/aftermarket stereo gets broken into, let's see if you change your tune on this.