My brother in law did this on a ski trip with a borrowed Range Rover. It was only at the end of the week he realised he'd left his keys in a jacket pocket in the car the entire time and it had been sitting unlocked in the car park half a mile down the road from the apartment. Thankfully it was fine but stealing it would've been a case of getting in, pressing the start button and driving away.
This is the problem with a lot of the newer tech in cars like backup alarms. You become used to various features in your own car and when you rent a car you need to consciously remember that the vehicle doesn't have $FEATURE. Effectively, cars are becoming a lot less standardized. A car I rented a few weeks ago beeped at me a couple times and it took a while before I realized it was the lane departure warning triggering on a couple turns.
A reasonable person would probably have turned around and exchanged the car with the rental company at this point.
I am not a reasonable person.
Instead, I headed directly to a truck stop and purchased a heavy-duty power inverter, dropped the back seat, and crammed my portable PA speaker into the trunk, connected to the car's trunk-mounted battery through the inverter and to my iPhone through a shielded audio cable run from the trunk to the front seat.
The result sounded far better than it should have, and what it lacked in convenience (I had to pop the trunk to power it down) and channel separation (one speaker = mono), it more than made up for in dB SPL.
(for the record, I've also repaired eBay purchases that arrived in worse-than-advertised condition rather than returning them, for no other reason than that learning how to fix things is more fun than going through the hassle of returning them)
The really nice feature is when you walk away (a few seconds after you're out of range), the doors automatically lock. However, the downside of this feature is my wife's car does not have it -- and so at least half of the time when I am driving it I forget and leave it unlocked in parking lots.