The rental companies have certain cars that are used for high theft locations, including Italy, Czech, basically most of the former eastern bloc. Italy is a hot spot for thieves because they can steal cars and stick them on a ferry to Albania.
Most of the agencies don't rent you the nicer BMWs, Mercedes and other 'nice' cars. They will rent you a car; just be honest and upfront about where you are driving. And don't think you can sneak into a forbidden country with your rental and everything will be all right. If the car is stolen or involved in an accident and you are where you shouldn't have been, woe be unto you. You will probably be purchasing a brand new car for the rental company.