I realize my sample size is small, but when my house was burglarized they looked under the mattress and box springs. Those particular thieves must have thought I'd hide something under there.
I've always thought a safe in a closet would be smart. If it's tight in the closet and bolted to the floor and walls then they can't get enough leverage in there to turn it over and if they did then it'd be laid down with the door on the floor. Of course then they could cut into it or then stand it up and wiggle it out of the closet but that would take some time. I believe most thieves are the smash and grab type that don't bring cutting tools.