I *think* what is happening is that with keyless it is possible once you have gained access to the vehicle to reprogram a new "key" using the diagnostic port. Obtaining entry is either by breaking a window or by jamming the locking signal (clearly this works for non-keyless too)
What I read digging around just now suggested that the EU (God bless them) made it illegal for the manufacturers to only allow their dealers to create replacement keys, which means that the technology to make and sell "key reprogrammers" has to be available to all and sundry - and somebody is selling them in some way that criminals are able to obtain. Repackaging that into a black box that you can push big buttons on in a hurry is only one step further away.
The next hurdle for the thieving scum is starting the car and unlocking the steering - on keyless this is all possible via the newly programmed "key".... if you don't have keyless, you still have a manual interlock to overcome, possible, but seemingly more difficult - and why bother when there are plenty of high end vehicles with keyless... in fact, the more expensive the motor, the more likely its keyless!
I think this is what is happening...
Clearly there are obvious counter-measures there could be built in, like if the alarm has been activated (by breaking a window) then have a 30 minute delay before the diagnostic port will accept commands... or something.
Maybe keyless/proximity entry but a mechanical key to start the car is the way to go?
Fred