Not baggage theft, but an attempt at robbery nonetheless.
Some years ago I was traveling on an overnight train from Nice to the Spanish border. My passport, ticket and money were in my jacket which had zipped pockets, and I was using the jacket as a pillow. I was in a first-class compartment, but not a couchette.
I was disturbed by something in the middle of the night, awoke to find my jacket missing - it had been taken from under my head as I slept. I jumped up and went into the corridor where I found my jacket on the floor outside my door. Whoever took it must have realised that I woke up and dumped it there. There was no sign of anyone, but thankfully nothing was missing. It was the days before Schengen so I would have been stuck at the border, unable to enter Spain and without a ticket to take me to anywhere else in France to sort out my problem.