I assume they just put it in their suitcase when they leave? At least here they don't check the room until you're gone. People stealing sheets and towels is a classic.
Note that this is based on mental estimations of a ten year old memory. I may be off about how small it was, but I think the estimation should be accurate in essence.
I also find the comment guests "guests will most likely attempt to take the mattress at night when the reception desk isn’t open" odd, since most four/five star hotels usually have a front desk that is staffed 24 hours.