On the coastline in Spain, the train traffic is limited and some places you need to take an express bus. I was on my way from Malaga to Estepona, with a stop in Marbella. Trip lasts for about one and a half hours.
How it works:
Thieves join the bus, or wait on the next stop to pick up their friends. People that go to Estepona often stay on the bus as the ride is so short. They steal pieces of luggage on the stop. And when arriving at your destination you will see it is gone missing. The problem is that there is not much you can do. They will often approach you after on your destination, to sell you some cheap stuff or guide you to a hotel. They are well organized, NOBODY in Southern Spain will offer you help right on the spot. That is just not how the world works there.
How to avoid it:
Please be on time at the bus stop. Put your luggage as deep as possible as thieves are not able to steal it. If you take short express buses, with one or two stops, always look out the window. They will never take heavy luggage but often smaller bags, or plastic bags or hand luggage.