I can't speak for others but for me personally it is the fear of vandalism, not so much theft (though even with theft, damage is inevitable). And in this day and age, there is probably a "how to pick" video for every commercial lock out there ever sold I bought an expensive ($60) lock from Bunnings 5 months ago only to find such a video put up on Youtube that very evening! So locking up a fenced off building site is only going to deter the laziest, casual, opportunistic passers-by. It isn't going to stop any pro or semi-pro from getting in.