The anti-theft system works like this:
If you use the key fob or power lock to lock it, then use the key to unlock it, the anti-theft goes off because it thinks it is being broken into. It does this because it is very easy to unlock the car with a slim jim (I know because I've done it a couple times). So, it senses the lock moving, but can't tell if it is a key or something else, so it goes off anyway. Kinda nice IMO. But... On the other hand, if you lock it with the key, it does not activate the anti-theft when the key is used again.
Hope this is understandable.