I can remember years ago, if I was doing my paper round and I had to leave my bike anywhere, I would click the gears a few times on both sides, so if anyone tried to cycle away the gears would crunch and I'd either hear that or it would make it harder to get away. That or take the chain off at the front.
While we are here...
http://www.pinkbike.com/news/mountain-bike-stolen-at-gunpoint-2014.html