Have happily driven French hire cars round the Basque country without incident (well, apart from the incredibly confusing roads exiting Donostia).

The rumour may come from the fact that there were some thieves targeting British-registered cars in northern Spain (there are ferries from the UK to Bilbao and Santander) about 4-5 years ago, which made for some radio adverts here, and the UK FCO's travel advice. These warnings have since been removed.

Be sensible (don't leave stuff out on display in the car, be aware of where you're parking, etc) but don't be paranoid.