Opportunistic ones likely won't have such a thing. My wife's phone was once stolen by someone at a hospital lab... after they'd checked in their kid. It was a fairly easy job for the cops to track that down.
The likelihood of the local PD deploying resources to recover your $xxx device is extremely low (non-existent), so will you chase down your thief and confront that stranger? Do you have a weapon that you're prepared to use if the bad guy threatens you with one?
All you have gained is the illusion of safety, while more data is siphoned off your device, even while it is off.
It might actually be a good thing to try, and to step back without a mobile phone and unclutter our current model of communication and coordination. It would likely involve more commitments (e.g. "we said that we would meet at that space and time") and less distraction.
You can use your phone while traveling 1-2 hours to a big city, and then turn it off.
Imagine a case where evidence puts you near a protest or crime scene while your phone is home. That’s coincidence, but if your phone also was home only at the three days three similar events happened, it becomes circumstantial evidence.
A more reasonable, good-faith understanding would also account for people who don't want to be tracked. I keep GPS and any location tracking on with all my devices because I don't want them to have any more data on me than I can avoid.
To be serious though: there's a lack of acknowledgement of the functional benefits of tracking by those advocating for control and privacy in this particular instance. The fact is as long as Apple's closed walled-garden is offering actual value to users (FindMyPhone works, and works well, for the common use-case most "consumers" experience day-to-day), while open alternatives are actively sticking their head in the sand around features like this, then closed solutions will prevail.
What's needed is proper discourse on the challenges of e.g. providing practical asset management features that bad actors cannot easily overcome, while at the same time ensuring full user control over their own device and privacy. This is a real world challenge without easy answers: "just turn it all off all the time" is an easy answer, and a cop-out.
If we want to provide quality solutions to e.g. activists, those solutions need to be mature and practical.