This option would be completely useless. As a thief all I would have to do is to put the phone into a metal box and leave it there for one day, ok. ;-) But this would warn a thief that there is an anti theft protection active. The best solution is a thief did not notice anything at all - and rooted installation is obligatory.
In case u have one, the thief would have to flash a complete new ROM onto your device in order to disable AT. A professional thief will know that. ;-)
Mike