Having something stolen from you tends to leave an indelible feeling of violation and injustice. If what is stolen is an electronic device, not only is the property gone but so is your data. Stolen data can be a more damaging long term than the loss of the physical device itself. The data could be personal or company data. If device is able to be used by the thief, there are many ways the device can become of value. The most important best practice is to not leave devices unattended in public places.
Even if you think your risk might be lower, don’t take a chance. Take your devices with you!