I've left my CAMERA, CELL PHONE, lots of clothing and of course, guards, at rinks all over the place. No one's ever taken them. Down heah, they go a step further: I've gotten calls from people at the rink to come on back because they spotted something of ours after we left the rink. One mom here said that her daughter's designer jacket was taken from inside her zuca bag - the thief opened it up. I just can't believe that is what really happened because my kids throw stuff around all the time and it always comes back.
When I was younger and had a much-lighter skate bag, I used to use a small shoulder duffel bag. I didn't carry much, so it was simple to just put it on the other side of the wall in a hockey box.
Today, I bring my purse or tote onto the ice with me during freestyles, but I lock up my wallet during general sessions. It's just too distracting since our rink allows people to use the hockey boxes during general sessions. I'm constantly looking to see who's in that box.
My current skate bag (a rolling suitcase) can be locked and I do carry a small luggage lock. When I skated in Dallas at the mall rink, we used a locker for keys/purse/etc. Anyone trying to pick up my skate bag would get a hernia, so no one's going to be running off with it. (The lock is the least of the things I carry in that behemoth of a bag.) At Rock Center, I put it in a locker or I would just bring an ID & cash plus my skates and guards. Nothing heavier than a sweater, but my office was only a few blocks away and I could use the underground concourse so no biggie.
The disappearing skate guards are interesting, though. I witnessed a kid try to take a pair once. Aside from the fact that the dope put them on in order to step onto the ice (I stopped him), he asked where to get them since "they were free." He thought everyone got a pair at the rental counter and he had missed out. It was an interesting conversation. He was around 7 or 8 years old.
I take my guards out with my purse, mainly so I don't forget my purse in the hockey box. I never leave them by the door - the off-balance hockey boys knock them all off the edge while they wait impatiently.
I think a bigger issue is that the skaters are so inconsiderate with their bags and belongings. You walk into a rink during a freestyle and every seat has a zuca bag in front of it, shoes and jackets all over the place. While they all have $150 seats, they park them in front of the benches and leave them there like they're saving the spots for later, when they come off the ice. It's selfish, imo. I make my kids put their things inside and park the bag underneath the bench or against a wall but left to their own devices, they won't do it because no one else does that.