I used to think leaving valuables at home was the the best place, until it got robbed. Like Xiefei mentioned, thieves have access to the tools that make picking door locks a breeze. Apparently, that's what they used on my place, and it was bolted.

It helps to live in a more secure environment i.e. within the 2nd ring road, newer xiao qu, security guards (although I usually find the 保安 to be completely useless), buzz-in front door, window bars, security door 防盗门, watchful neighbors. A safe would be ideal; otherwise, try to hide valuables in less conspicuous places. The thieves went straight for the bedrooms (wardrobes, in particular). They were in and out in probably a few minutes.

Don't underestimate the thieves here; they're pretty 厉害。
I know someone whose 10th floor apartment was broken into by spidermen. The footprints on the wall leading up to the apartment were actually visible.

Pickpockets usually work in teams, and they can be the least suspicious-looking young girl or mom with a kid. You don't need to be paranoid but always aware.