If I've left my bike somewhere dubious I take the saddle with me. I had a Brooks Pro nicked last year, much faff and arse pain. A cable tie on the seatpost lets you put it back where it was and then you only have the rest of the bike to worry about!
To be unfair to them, they probably don't realise the value in things like that. They may not know why you could want a Brooks, but they know a Brooks can go for £X at their mate's market stall/on eBay and they can easily spot them.
If I've left my bike somewhere dubious I take the saddle with me. I had a Brooks Pro nicked last year, much faff and arse pain. A cable tie on the seatpost lets you put it back where it was and then you only have the rest of the bike to worry about!