At last count, all of the jailbreaks require either a) restoring the device from a custom IPSW, which will wipe the contents of the phone or b) for the JailbreakMe.com one- having an unlocked phone to use to to visit the website.
So, unless they've also stolen your computer that they can use to restore the device from a previous backup after they jailbreak the iPhone, if you have a passcode lock it sounds like you should be fine...
Right?
I was reading this trying to decide if there's some way to jailbreak a phone without knowing the phone's pass code.
There's still not, right?
So this really isn't an actual thing at all, is it? It's just like an example, really, but not a real thing, right?