Message:

Even if you had turned off the interior motion sensor and the tilt sensor (by hitting the lcok button twice within 10 seconds) the alarm should have gone off when they opened the door.

From your post I assume they did open the door - if so there is a problem with your system because if you had locked the car the alarm will go off if any of the microswitches in the door catch (on the body) are released.

But if they went in through a window then the only protection is the interior motion sensor - which the other post correctly says you can test yourself.

Monitor the red led on the mirror when locking. When you deactivate the interior sensors (with that second push of the key, or second turn of the lock) then the LED goes solid red fro 2 seconds before starting to blink. if you get that after only one pushof the key then you have a fault.

Cheers
Jim Cash