Not if the purpose is to thwart thieves who are going to ignore the warning.
That's to assume that a thief is somehow more likely to plug the USB in than a non-thief, which I'm not particularly convinced about
I would posit that a person who plugs the USB key in leans more towards thief than "person who just wants to get the keys back to you." I'd further bet that there have been a not-insignificant number of CFAA prosecutions for actions of curiosity. (Not to say that plugging in a found USB key constitutes a CFAA violation)
A thief, someone who already has the mindset of "ignoring the rules", is more likely to see "Do not plug in" as yet another rule to ignore.