Never had a problem. Although the housing here is close together, I have fairly high wooden gates and fences around my garden, and the smokers are to the rear of my garage and not in view of anybody except perhaps a neighbour.
If miscreants want to try to move my Lil' Tex, they are welcome to try. However, I've been thinking of chaining up my Davy Crockett. To my amazement, recent high winds managed to tip the smoker and the table it rests on completely over, so I've been looking at ways to fasten both the table and the smoker itself to the fence posts it backs against, to prevent it tipping again.
(Damage done only to the lid, as the thing fell front first on the handle, and bent the whole thing inwards. The grill still works, but leaks now. I've a replacement lid in the pipeline. The antenna is also very wobbly, but I am pretty sure I can fix that.)