This is a funny thread. This no different if you try to lock doors with fob inside. Its a security feature.
Yes maybe it does or can draw attention to the car, but I would rather know than to find out after someone has drove off with my car.
Doesn't seem that this affects my car, (2011) but whenever I get out of car and leave it running, I use the fob to lock the doors. That would be my suggestion. If someone inside, not sure what all happens if door gets opened, but I assume nothing!