I parked my bike at the Davis Square subway station a week or two ago, hanging my helmet on the bars as usual. A woman waiting for the bus asked "aren't you afraid someone's going to steal your helmet?" and I explained that no, it was cheap enough to be easily replaceable ($30 new) and not worth stealing (resale value $0, since it was old and battered and Boston has a group that gives away free new helmets, no questions asked). I used fewer words than this, because I am a laconic motherfucker what is never verbose.
After a little back and forth, I said "if somebody needs my helmet that badly, they're welcome to it" and left to get on the train. She said "ooookay" in a voice that said
"(1) I think you are crazy; and
(2) I am going to steal your helmet as soon as you're gone, just to make a point".
When I came back 12 hours later,
the helmet was gone! OMG!
the helmet was still there! OMG!
What do you do with your helmet?
Don't wear one.
Never park outside.
Carry it with me.
Lock it up.
Just leave it.
(NB: normal bicycle helmets. Motorcycle helmets and special nice gear you only wear sometimes are a different matter.)
Also, my lights are way more resell-able, and I leave those on, too. Thieves take note: they are coated in ball python venom.