Bring the furniture indoors prior to any severe weather conditions such as snowfall. This helps secure the furniture against damage and will prevent thieves from trying to steal it during the storm when no one may be watching.
Keep your deck well-lit at night. Thieves and vandals prefer to function in darkness where they have less chance of being seen. Keeping the deck furniture well-lit will deter many thieves from approaching the deck.
Lock your furniture up at night or when it is not in use by looping a security cable through all of the furniture pieces and securing the cable together with a padlock. This makes it much harder to steal a chair or table since the thieves will have to either circumvent the cable first or take the whole set as one large piece, which is highly unlikely. You can also loop the cable through the deck supports themselves if your deck design allows it.