It's not keyless entry, it's the electronic keys used for push-to-start (which is also an unavoidable option, but it's one I like).
FWIW, I know about this firsthand because I bought a new BMW last year and I was adamant about not having the "keyless entry" feature -- for security reasons. The BMW salesperson acted like I was a bit crazy.
The reality is that if someone wants your car they're going to get it.
Why get rid of an awesome convenience feature for the risk of something that is a) unlikely and b) won't cost you anything (absent a small deductible) if it does happen?