The hubby had a buddy have that happen to him several times. So they got to thinking and then took the little screws out of the edges of the stereo... the ones that hold the housing together. They put those stanley utility knife blades on each screw and put them back in. Very carefully reinstalled the stereo.
About a week later, sure enough, he found his window smashed out... but his stereo was still there. With a lot of blood all over the front of the car. The police said it was a fine idea and took the report to get the window replaced. He lived there another 3 yrs and never lost anything again.
Gory but it worked.