You do not need the key to be present in the car once it's started up. It's a feature of all key-less cars. For example, one would not want the car to suddenly stop if the key's battery dies on the go.
So, once you start the engine, it will run. It will complain and beep if the key is not present in the car, but it will run.
They suggest to use a steering lock to avoid this, which would indeed help, but it's quite cumbersome. A more convenient way is to store your key in a special keyless key protector "pouch" when you're not driving your car, which is basically a Faraday Cage, blocking it's signal.