The night before last, one of our jobs (a new BMW dealership) got hit by the thieves.

They got in the bins/containers, and cleaned out all the subcontractor's tools. We lost about $7K in the tools that were onsite.
The %*&#@s also got all the wire that we had onsite (fortunately just a little before the big stuff for the feeders and the Super Tugger went out to the job).

Plumbers, HVAC, Fire Sprinks, Steel Workers...they didn't miss any of the trades.
They even took shovels!!
(The last time this happened, there was a Security Guard in a trailer. The thieves stole his bicycle, which was chained to his trailer. So much for that idea)

The moral of the story:
Keep as little as you can onsite.