My son has seen the ADT alarm company commercials on tv, so when we walk past a house with an ADT sign, he points to it and says "that should be our next house." In the past, ds would ask why we locked our doors and I would explain that it was so no one would come to visit while we were sleeping because I didn't want to alarm him with thoughts of burglars.
Then we had a break in while we were home (in the middle of the day, man with a knife, doors were locked but it was just a doorknob lock, not a deadbolt). Ds was surprisingly not very freaked out because he is used to random strangers in our house (brother's friends or contractors) and the man wasn't brandishing the knife in a threatening manner, just making sure we saw that he had it. Now we have extra deadbolts on all the doors, so burglars can't come in and I am waiting for ds to realize that they could come in a window (which is probably what your ds realizes).
I would tell your ds that you have strong locks so burglars can't come in. Then talk about what you would do if one got in anyway (kids always seem to want to know "what if"). Having an emergency plan helps everyone feel less helpless. Burglars aside, it's good to have one in case of fire. You don't have to talk up all the possibilities in an alarming fashion, just answer that "what if something happens". You can tell your ds that if you hear a burglar you'll call 911 and the police will come. You could string up bells on doors so no one can sneak around w/o making noise. You can lay "traps" such as strategically placed noisy toys. We sleep with our bedroom door locked (ds co-sleeps), even though you could stick anything in the keyhole and pop open the lock because it creates the illusion of security. If you have double hung windows, you can put a board in the side so the window can't be opened all the way, etc. I'm not suggestion you do all these things, but ask ds what he thinks could happen and then address those problems, showing him how you are making those things "impossible". There is a bit of a fine line because you don't want to confirm his suspicions that these things may happen, but you also want to take his fears seriously and not be dismissive of them. It's almost the same as kids who are afraid of monsters. You tell them monsters don't exist but if they did, we would squirt them with this special stuff to make them disappear. Good luck
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