I use a Pin lock as a reasonable compromise between security and convenience. BUT, I also use the app Skip Lock. When I'm connected to my WiFi router at home and at work, and to BT in my car, it disables the pin lock for convenience, but I'm still protected in more public situations.
I suspect almost everyone who's lost or had their phone stolen said "my phone never leaves my person." But the number of people I see who set their phone down on the table at a restaurant, or on a bar, etc., makes me seriously doubt that claim. I know a couple of people who left their phones in cabs, and airlines find lots of phone left on board after flights.
My son had his phone fall out of his pocket while on vacation in North Carolina. Fortunately, he got it back. But there are many, many ways a phone can disappear in spite of one's best plans. Mistakes happen. Assuming it's protected because you'll never let it out of your site is definitely a gamble.