If checked baggage is offered at both stations, that would remove the concern of other passengers being able to go through your luggage - the luggage car is not accessible to passengers and thus they couldn't steal your bag while in transit. However, that only works if you don't need access to your bag during the trip. If your home station doesn't have checked baggage, but your destination does, and you're transferring trains, you could check the bags at the transfer point, time permitting.
That said, I haven't had an issue with people stealing stuff out of luggage, either in coach or in sleeper compartments. I'm sure it has happened, but it's relatively rare. There's also nothing to lock your luggage to on the luggage racks (as stated before,) and chaining two pieces of luggage together may cause issues if luggage needs to be moved around to more efficiently use space, or if there's not enough space to have the bags side-by-side. One option could be to use a colored zip tie to hold the zippers together on a piece of luggage - while it wouldn't stop a determined thief, it'd be a clear way to see if someone's tampered with your luggage (they can't simply re-lock it, and it's unlikely a thief would have the same-colored zip tie if it's not just the generic clear/white ones) and it'd slow down a theft of opportunity (they'd still have to snap it off, and it'll likely be easier to look through some other luggage that's not locked rather than have to snip off the zip tie and make it obvious that it's been looked through.) Most luggage locks are pretty weak anyways, and I'm not convinced that people would really say much if they saw someone looking through a bag that was simply linked to a second bag - it'd be odd, sure, but I kind of doubt that most people would report it any more than if the bag was on its own.
