A well told story (lie) might help drive the point home.
Obviously, you don't want to instill fear into your guests (murderer on the loose... ).
Consider varmits.
"I'm concerned about your belongings. The squirreles here a terrible pests. They'll come in, go through your purse, rip up the bed and chew through your luggage. So sorry, but it's best if your lock up your room when you leave"
Make your story a part of the experience. Over-exaggerate, be dramatic. Operatic.
Your guests will roll their eyes with incredulity, But you will have made your point and they'll remember a little better