I do worry about it, but at the same time, I can't live in fear.
About 2 weeks ago, a local bird store that not only sells babies, but boards and takes in consignments, had a boarder bird stolen in the middle of the day. In front of witnesses. Problem is that the "witnesses" were all special needs young adults who couldn't really tell the officers anything. The store was crowded and it was in a section not really visible to the front. If that had been my bird, I would have been devastated. The owner had never had that happen in over 30 years of business. The thieves came in with every intention of taking a bird, but without any definite bird picked out. They left cages open, birds in the wrong cages, birds out within the room and seemed to have taken the first bird that cooperated. It's heartbreaking.
For myself and my fids, I'm home most days. It's rare that I'm gone longer than two hours. I don't have a security system, however, I also live on a street where, while we don't all know each other, we know the cars of everyone here. If my car or scooter aren't here, and there's a strange car in my driveway or in front of my house, the neighbors are likely to know something is up.
For at night, or even when I'm home with just my daughter (as I will be for 2 months straight starting next week), I have Mathilde and Glamdring, aka a Smith & Wesson revolver and a Five-seveN, to keep me company
I know how to use both, have decent accuracy and precision and sleep with them at my bedside. I never leave home without Mathilde either. It's the best I can do until we buy a home that I can get an alarm system for.
However, Sam is likely to try and rip the finger off anyone who attempts to touch him without his permission (other than me), Sugar runs in fear of anyone so she's the one I most worry about (and the one I'm most attached to, go figure) and Loki would do his best to get away by giving a nice GCC bite, that would likely have them drop him and then he's so small he knows of really great hiding places
They'd give up on him quickly.