The crooks are getting crafty. Thankfully the "relay" attack has been known about for quite a number of years. Vulnerable cars are the ones with "keyless entry" where you touch the handle or push a button, the car itself initiates challenge-response authentication sequence with the nearby paired key and unlocks the doors/starts the engine. You'll find a lot of the vulnerable vehicles are in the low-to-mid range market (Nissan, Subaru, Hyundai etc...) although a lot of the Audi's were also vulnerable.
Cars like Volvo and Mercedes don't seem to be vulnerable. In a Volvo the key fob is inserted into a slot or kept very close to the receiver, such as in the drivers pocket. If the car can't detect the key, it's game over, but that's assuming you were even able to get into the car in the first place. Mercedes seem to use a infrared communications system between the car and key once it's inserted into the key barrel (to get into the car, it's RF).
Those vehicles which use a simple encrypted or rolling code from the key fob to the car aren't vulnerable to this type of attack either.
It also relies on the vehicle owner to keep their keys fairly close to the outside of the house (where a thief can get within a fairly close range, albeit a wall separating them). You'll find many people simply leave their keys at the front door, it's probably easier to break into the house and steal the keys.