Physical Security - the unlikely does happen
Police in Tulsa are chasing a ring of criminals who are conducting large scale thefts that most security folks would rate low on the probability scale.
Their most recent heist involved rappelling from the ceiling of a Best Buy to steal a large safe and electronics. They even disabled the alarm system. In other thefts, they've stolen a semi-trailer sized load of electronics, and cut through the side of a building.
I've seen drywall walls cut through to get into an otherwise well secured room, and I've seen datacenters that had no security camera, easy dock access, and a back door latch easily tripped with a credit card or screwdriver. While we're not used to physical theft, it is a fact of life, and if you have valuable, portable items - or even not so portable items, there is a risk.
If you have valuable merchandise, or if your data center has business critical data, you might want to talk to your management about the unlikely, but possible...