I keep all of my gear with me except perhaps a long lens that I leave in the safe. If something doesn't fit in the safe, I lock it in the trunk of the car. Similarly, if I go snorkeling I leave everything in the trunk.
Even if something is stolen, I have insurance. So for me, there is no point in not taking the equipment simply for fear of theft; whether it gets stolen or left home, I can't use it while on vacation.
You might be interested in
this website that I recently learned about at CiC. One of their items, which is available in various sizes, is a metal net that encloses the camera bag that you can lock to a radiator, bed post or whatever in your room.