I just bought a new car with a RFID key. The key never leaves my pocket. As I put my hand around the door handle, it unlocks. Once I'm in the car I press a Start button and it's ready to run. When leaving the car I press a special spot on the handle and it locks all the doors. If I were to leave the key in the car and lock it from the outside, it wouldn't matter because I (or anyone else) could unlock it simply by grabbing the handle again.

On the other hand, I know of people who have problems with putting their keyless entry dongle down in the car and having trouble finding it when they try exiting. I've never had that problem with keys.