I certainly was concerned enough when I took Kitty
Sakura and some other precious cels to Otakon for
the Cel Flaunt and Swap Workshop.  In fact, the
first day, having read the hotel's grim statement
on Limited Liability for Theft of Valuables from
Rooms, I took my portfolio down to the desk and
asked them to put it in a secure place.  When I
returned later that day, I turned in the claim
check and waited for several minutes, sprouting
multiple sweatdrops, while the bellman was in the
check room.  

Finally he came back and asked, in a dither, "Can
you help me find it?"  I went in with him, passing
buy several tempting portfolios labeled "Vamppy,"
"ciaran," "Valpalla," etc. and found it propped
uncertainly between two backpacks.

After that I left it in my room during the day,
tucked in a drawer behind an intimidating pile of
dirty underpants.  

More to the point, I think the cels are more prone
to theft at conventions when they're together in
books than at home where they are on the wall. 
Fine art gets stolen, but generally by thiefs who
know exactly what they are after and to whom they
can fence it.  The only persons who would break
into my house are fellow collectors, and they
would gain only personal satisfaction as my cels
are all scanned and published on my RS gallery.

So I think until the market seriously picks up for
high end cels, theft, for most of us at least, is
less likely than one might think.  Damage, in the
form of premature fading, is probably more of a
problem with framed cels (see archive for threads
on this).