I agree that the chances of having something stolen from a sleeper (and even from coach) are rare. But when I'm feeling particularly paranoid, I'll make my diner/lounge/restroom trip immediately after departing a station. Meaning I'm usually back at my seat/sleeper before the next station. If something's stolen, at least you know the thief is still on the train.

Full disclosure: I watch a lot of Hitchcock films...