Thats a terrible thing to happen!
To be honest that was the reason why I didn't get an R (or a Subaru back in the day - really wanted one but the neighbours door was kicked in for the same).
I have always had a performance vehicle but kid myself that I don't go for the main ones, so m135i instead of R - maybe the RWD aspect kept these a little more under the radar.
Who am I kidding...
My Ring picked up the handles being tried on my TCR during the night and that freaked me out a bit for a while.
What I would say is that it doesn't matter what car you have old, new, fast, slow. These things will always happen. If you follow a local stolen car Facebook group - one for every area I guess - you will never sleep and never own any type of car.
I think we feel more at risk as we are more car savvy than some and know/hear about these things where as most mainstream - no car people hear off a friends car being taken and think nothing more about it where as it would sway our thoughts.
This probably doesn't help and I am sure I would react like you in the first instance - get a lower target car - but I hope you get past this as otherwise they have won and in reality you may not be that better of...