There's actually a fairly famous case in the Boston area of an American museum being robbed: https://en.wikipedia.org/wiki/Isabella_Stewart_Gardner_Museu...

In general it's pretty rare for museums to get robbed because while art pieces are valuable, once stolen and reported as such, they have to be returned to the rightful owners when found. As such, they can't be resold through public channels such as art actions, and even private sales are risky

For examples of American museums, take a look at https://en.wikipedia.org/wiki/Art_theft#Famous_cases_of_art_..., in particular https://en.wikipedia.org/wiki/Isabella_Stewart_Gardner_Museu....

Adding to those other examples: European museums also have more famous art you can steal.

You'd think paintings worth large amounts of money they would add GPS trackers and motion detectors into the frame.