...If you live where you have a helmet law then people have incentive to steal your helmet...
To be fully forthcoming, when I purchased my bike and gear early last year I did think about all of this. And to some degree, I do practice what you all are saying.
I commute every day to a train station and then to another city. I leave my bike at the train station. I am a believer in ATGATT. I ended up purchasing a Wolfmann Mini-Beta tail bag which is something like 60 liters in volume (not sure of my numbers but, it is big). When I get to the train station I take off my overpants, and my jacket and put them in the tail bag. I first take out of the tail bag a bike cover. Long story shorter: when I walk away from that bike I have left, hanging on it, approximately $2,100 worth (retail price)of gear (helmet, gloves, bike cover, tail bag, overpants, and jacket) that can easily be removed. Yeah, it bugged me for a awhile. I think what makes the difference in this case however is that I cover it all over with the bike cover (that's what I tell myself anyway).
And here is where I see my actions aligning with your thinking: On the weekends when I go on rides I can't see myself parking just anywhere with a tail bag and my riding gear in it. I believe my gear would disappear. So, instead, I rationalize wearing only jeans for lower-body coverage (I do wear my jacket all the time). In this way I don't bring the tail bag, or bike cover. But, I do still attach my helmet and put my gloves in the helmet. And yes, I have a Corsair X and a pair of nice Dainese gloves - so it's ~$1,100 just sitting there for someone to snip off.
When I first acquired my bike I worried a LOT about it being stolen. I saw a few quotes from folks who said "don't worry about alarms, disc locks, chains, covers, etc. Just ride and let insurance handle any eventualities". That didn't sit too well with me but, after a awhile, I decided life was just too short to worry about all of this. Like on the Internet, I try to avoid sketchy places, and I'll let insurance take care of the rest. The only things I do proactively are to lock my helmet to the bike (and yes I realize a pair of scissors undoes that) and to put on a disc lock. I do both of these because they are quick and easy.
So, this is a long winded way of saying - I hear you - I don't disagree with you - but to actively worry about all of this is just something I have decided not to do. I will passively alter my patterns and avoid certain neighborhoods: be 'smart' about where I ride and park. But I just don't want to be in this constant state of worry; a state I feel I would always be in if I were trucking my gear around when I got off the bike.
2 things: theft in the area I am in is not particularly elevated and yes, I live in a place that has no helmet law. If those two metrics were otherwise, I'd likely change my tune.