Don”t know about the locks available, but if theft occurrs, Sonos will work with local police.  For obvious reasons, They cannot work directly with the user, and require an official police report to start an investigation.

Mounting them up high would offer some measure of security, and speaker mounts can have varying degrees of difficulty with removing the speaker.  Would not hurt to have security cameras. Of course, you could always have a locked cage.

I don’t think that a firmware lock would be a theft deterrent unless there was a big sign near the unit and the potential thief would take the time to read and understand the sign. After the theft someone will be unhappy, of course, but I doubt that the thief will return the useless units.

The SONOS wall mount bracket offers some security against a “snatch and go” theft. You could replace the screws with security screws that require specialized tools to remove. (Do some research, there are screws requiring tools that are not available through your local hardware store). 

With some imagination, you could obscure access to the mounting screws.

If the speakers are mounted to drywall, a determined thief will simply remove a small section of drywall with the speaker still mounted. The wall has no value to the thief.