Ya. That's a good idea... If you make the transmitter of theft object to transmit signal only when you need, you can avoid any regular & continuous duration and can save a lot of power. While transceivers are in receiving mode, they consume power in negligible amount.
In the theft object, battery duration will depend on battery & circuitry. Points of saving power are,
1. Determine the time the transmitter should be active long enough so you can reach to your theft object.
2. Use small but high capacity battery
3. Use smallest possible circuit, mostly some on-chip radios
4. Keep the transceiver of theft object always in idle mode or receiving mode, and only transmit when you send a signal.
5. Use lowest voltage possible
6. Use the on-chip facilities like 'wake-up on signal reception', 'RSSI', 'low power output depending on RSSI', etc. to save maximum power.
7. Use lower frequency
No mater if any object is stolen, you will have a window of 1 or 2 days maximum to grab the thief. Within this time, the thief will come to know there's a transmitter. But if its a car, there's nothing to worry.;-) And you can hook it up with the car battery.