Actually
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Some closets with a man door can be converted to protect your guns, very well. As they have been on the market for sometime now, at the Home Depo's, and Lowe's, for example, all metal man doors, with locking door knobs and they can be cut to also utilize a dead-bolt. And either using reverse, inside hinges or, outside hinges with locking screw pins, for the hinge rods, that make it "very difficult" for someone to just pop the hinge rods out, as they can only access those locking pins, from within the closet. Unless of course, it's an inside job, that the thieves know what's in there, has locking hinges, and bring the right tools that they can bang those rods out, noisy, but out. That's why if possible at all, go with i/interior/inside, non-exposed, hinges. Takes care of that scenario.
Now, other than a bolted down, 600lb and up, safe, if they really want what they "know" is in that closet, and have the "time" to buzz saw a hole in a wall, etc., and no house alarm, no dog, etc., sure it's contents are going bye-bye, but it does deter an in and out 5 min hit-burglar, as it will take much longer to achieve a noisy procedure to bypass a metal door.
The doors come in various common man-sized door sizes and come with finished paint applied, in common used colors as well.
My strong suggestion is simple, it's all in the keys, who has a set, and knowing where they are, or if missing, strangely, then suddenly returning, could mean they have been cut-copied, and scrutiny is advised, to change the locks quickly.
Nothing is perfect, heavy gun safe is best, both in being fairly fire proof, water proof, and crane or truck needed to lift it and transport it away.
Locked closet, with light-weight steel, or heavy aluminum door is better than wood IMO, and buys time and, is a good enough deterrence for a hit and grab burglary (of opportunity) IMO.
Locked closet with exposed hinges, not with safety lock pins, is easy to pop open, take items, and makes no sound.
Big dog/s a/o a monitored alarm system, along with informed adult neighbors, that if they hear an alarm, to look, take descriptions, car, licence, etc., down and to call you local PD and report Robbery in Progress, House has Guns, will get the PD's attention and reaction sooner than your monitoring stations, avg 3-6 mins to call, and when no answer after 8 rings, or get a busy single, then they call the PD..
LS