Even if you’re not one to linger inside over a cup of coffee while your dog waits outside for you, you’ve undoubtedly wished, just once, that you could leave your dog safely outside while you ran in to the store and bought a quart of milk. A locking leash would help, and Ruff Wear used to sell one — the DogLock locking leash. It had thin steel cables embedded in the length of the leash, so your dog couldn’t chew herself free or be cut free, and a lock allowed the leash to be fixed snugly in a temporary collar. It’s been discontinued, however, and even if it was still available, it was really too heavy for a small dog.
The only other locking leash I’ve found is the “Lasso” leash (PDF), which is a retractable leash similar to the ubiquitous Flexi leash, except that the handle opens and clips shut around small-diameter objects like chair rails and car door handles. It won’t prevent someone from stealing your dog, but it does allow you to clip your dog securely somewhere while you tie your shoelace or juggle bags opening your car (something that Flexi leashes don’t do).