Maybe because the two crimes here are (1) breaking and entering (you have to actually break something) and (2) theft. If the window isn't locked, then you don't have to break in; you can just open the window.

It's not against the law to just walk in; or rather, it's the civil offence of trespass - you can sue the trespasser for damages, e.g. causing wear on your expensive carpet (but you'd have to produce evidence of monetary damages). And you can physically remove them, perhaps with the help of a bailiff. But the police won't help with common trespass - it's not a crime.

[Edit] At least, that's how I understand the law here. IANAL.