FYI, most safes already have a decently thick concrete layer — that’s most of why safes are heavy! (Or, I guess you could say, adding a concrete layer is cheaper than making the steel thicker.)
But they also have a rubber or foam (often styrofoam in cheaper safes) layer, to “smooth out” the force from a sledgehammer, jackhammer, or just dropping the thing out the window.
And a layer of compressible wet(!) sand, to spread out the point stress from a hammer and chisel, impact gun, gunshot, or small explosive configured for concussive force. (The goal here is essentially to replicate the behavior of a bulletproof vest.)
Plus, they often contain a layer to bind and foul and dull (or even break) the teeth of drill bits and reciprocating/chain/band saws. This can be any number of things — low-melting-point plastics, recycled broken glass, etc — but look up “proteus” for a fun read.
If the safe’s designer is clever, just a few materials can serve several of these functions at once. But more is always better. Which is why good safes (and vaults) are so dang thick. It’s not to solve one problem really well; it’s to mitigate N problems acceptably well, for a frighteningly large value of N.