But even then, how the heck do they lug a mattress out?
* That is, before 9/11.
...Then there was the guy who got into the Louvre by walking backwards into the exit.
Heck, I was just as a small 50 room hotel this past weekend that had 3 points of entry, only 1 was in view of the reception desk.
Any of those non-primary entry points would be extremely easy to walk a bed out of without anyone noticing (assuming no one had eyes on the camera at the moment you walked out).
If one can walk out with something as big as a mattress then they can walk out with anything that fits through the door. It's a bit ridiculous that they imply anything in the hotel could just be taken at night with little to no effort, other than actually carrying the thing.
For those hotels where it does, they probably do, eventually
Service elevator > service dock > load the truck > go