Very sorry to hear this. I installed a couple of window AC units for an older patient. She had hers stolen as well. I secured the unit casing right into the wooden frame of the building, and then slid the compressor and internal works back into the outer case. They have not been stolen since.
It could just be that these thieves just want to be as cool as you.

Tom Young, DO
Internal Medicine Consultants, PC
Creston, Iowa