My brother-in-law had the whole car pinch and the wheel were missing when we went to recover it And a mate of mine had 1 wheel stolen He used to park his car just out of town then catch a bus in on his return a copper was stood at the side of his car "aye aye" thought my mate so say to plod "what's up" plod: "chaps had a flat and gone to fix it" mate: "don't think so" plod : "do think so. helped him take it off so he can nip down the road and get it fixed" mate "don't think so" plod : "do think so" mate "don't think so" plod :"and why's that" mate: "cos it's my fecking car" plod :"oops" turns out scumbag let down the tyre and starts jacking up car when plod arrives, scumbag explains "mi tyres gon flat gorra gerrit fixt" plod agrees to stay with car till he returns to prevent other scumbags kicking it off the jack scumbag disappears forever with tyre and wheel my mate ends up with extra jack I still maintain half the plod in Sheffield are not batting with a full side IYSWIM
So getting back to the OP perhaps not all your wheels would go at once but maybe one could and it would still be an inconvenience
If the locking wheel nut are done up properly you should have no problems (other than loosing the key bit ) it's if they're over tightened the problems start
Andy