Look out also for those little thingys which if moved give out a loud alarm sound - put one on top of your equipment or on your bag if you put it down, and if anyone tries to move anything beneath it, you'll hear (depending on how loud the concert is!). Another thing I do at almost all times is to have a decent size releasable cable tie about me. If you're in a cafe or whatever you can quickly tie the handle of your bag to a chair leg or whatever, to slow down any attempt to snatch it. Or link together the handles of several bags to make it too unwieldy to grab the lot in a hurry.
The worst case I can recall of concert hall theft happened at London's Wigmore Hall, about the most respectable place on the planet, where Victoria de Los Angeles had a quarter of a million pounds of jewels stolen from the dressing room right behind the stage during a rehearsal when the hall was closed to the public. Stuff happens anywhere!