I foresee anti-theft measures being more like the drone rendering itself useless/calling home if stolen or captured. Also marking the parts with amazon identification so you know they are stolen. It's no different from stealing the mailman's truck when he gets out to make a delivery, and mail trucks don't need "defense" built in.
People aren't talking about stealing the drones - rather, stealing the goods the drone is carrying.
Unless you're assuming an awesome future with net guns fired from pirate drones, downing the Amazon drones and stealing their wares, this is just the same package theft issue that already exists.
With the exception that the human factor is removed. I have to imagine the number of teenage kids who'd take an en route drone out of the sky is greater than the number that would attack a UPS driver or steal from someone's door.