Or hang it on the bicycle?
It stops someone from just picking your helmet up and walking away with it, but it takes no more than half a minute to undo the strap, so it's not going to stop someone intent on stealing it.
So firstly as has been covered in other comments here, cyclists in The Netherlands don't want to wear helmets for their daily commuting, it doesn't solve any sort of safety problem for them when you factor in the inconvenience they cause.
Secondly even if they did most bicycle chains here are over an inch thick, not something you can thread through a bicycle helmet.
Sure you could carry some extra wire just to lock the helmet to the bike, but that gets you even further down the road of making a bunch of special accommodations to solve a problem that doesn't exist in the first place.
This sounds very much like "I don't wear my seatbelt for commuting. It doesn't solve any sort of safety problem when you factor in the inconvenience it causes."
Add into that that in this parallel universe driving a car daily had big long-term health benefits, and the introduction of seat belt laws in other countries had caused driving to drop by 1/3 [2], causing fewer people to cycle, overall health to decline, and a reduction in car safety due to less car safety in numbers. Since a major cause of accidents was that few people used cars daily, leading to accidents where people weren't expecting them.
Then yeah, I think it would be completely fair to question whether wearing a seat belt in your car was worthwhile. But of course none of this analogy makes sense, which makes your argument rather nonsensical.
1. http://www.cyclehelmets.org/1261.html
2. https://en.wikipedia.org/wiki/Bicycle_helmet_laws#Effects_on...
Answer me this: if you needed or wanted a bike helmet, would you buy a used one to save money? Especially if it's never been cleaned? (Those foam pads inside don't seem to be conducive to cleaning.) What kind of person would steal a helmet?
I've had the bike light stolen twice (both in January this year), and the jersey vanished once, but I think it blew away. No one's ever taken my helmet, which has somewhat surprised me. I've also gotten too lazy to lock my tires these past few years, and they've been let alone.
Admittedly anecdotal and maybe a little lucky, but there don't seem to be people trolling around for bike helmets to steal. They're probably not easy to resell. I'd go for the pumps and lights first, personally.
Stolen bikes can be resold. But who wants to buy a stolen bike helmet??
Most people don't really want to buy used items which are personal in nature. While a bike helmet isn't underwear, it's still in contact with your head and your hair, while you're sweating a lot, and probably never gets cleaned. I imagine that for the same reasons, no one would want to steal your jersey or gloves. I'm more surprised that your pump and tools never got stolen, but there again it probably has to do with the black market realities: people will buy stolen bikes, but how many people are looking to save money by buying a stolen tire pump?