Yes, they could... consider the following, though:
The interior components (Radio, Climate/HVAC, cluster, etc.) don't work automatically once installed. They can be pulled out/put in super easily, but the only way to get them to work on another car -- another E46, specifically -- is to install them in the new car and then code the car with the new component. Given how much the OBD machines (I forget their names -- Mobic and Logic-something?) cost, it's extremely impractical for thieves to really bother.