Sadly things like this do happen, and its not always possible to be set up in secure areas. An event i was working on in a big London club, a CDJ (£1000 nearly) went walkabout during a changeover of DJ when various bits of kit were being moved about. Its worse in venues where there is no physical stage as you can't get a big barrier between you and the crowd (i.e. the front of the stage!) I know DJ's that have turned around to get the next tune and found their record box/CD wallet gone.
I even had a 4ft UV light fixing stolen off the wall (from chains) at a night. God knows how they got it out of the venue but fair play to them really! Must've REALLY needed it....