Depends on the location, just as it does here. The ones at Chakanaab and Tulum, I have used with no problem but those are both places with heavy traffic. I think it would be difficult for a thief to have enough privacy to break into one. However, I would never leave anything really valuable in any public locker anywhere, here or in other countries.
Good rule of thunb, just take with you what you need for the day, keep everything else in your safe onboard. Some cruisers like to take copies of their passports and leave the actual ones, again lock in cabin safe. I try not to bring along a good camera, some of the disposable ones work great for beach days and excursions.. Just be wise and careful and you should be fine.