I don't rent a car in Europe, but I've read this tip often: Have everything you're leaving in the car already in the trunk when you drive into the parking lot. Do not park, then open the trunk to put things in it.
I'd have critical things (passport, vaccination card, prescription medications, electronics, cash and cards) in something like a moneybelt (cards, cash, documents) or backpack I was wearing.
Another tip I've seen is to buy a heavy chain and padlock. Run the chain through the handles of all the bags and lock it--again, before you arrive at the parking lot.