You're correct, but lock picking is useful for criminals who are looking to break into a building without leaving a trace (for whatever nefarious purpose).
That said, locks serve a different purpose - they're to stop random people from just coming by, taking your stuff and leaving. The kind of people who are not 100% commited to burglary, so they won't be destroying your property in order to get in, but who'd nevertheless take your stuff if they found it unprotected.
That, and also the important social signal: "strangers not welcome without announcing themselves and being allowed to enter".