For hardening - the chains without any case hardening are also easy to cut with bolt cutters.
The trick is optimal hardness. Something Abus gets quite right with their Granig X-plus series of chains, U-locks etc. Not sure about other brands, since very few of quality are imported / available in my country.
Nothing is really theft proof, given enough time. Materials that can't be cut relatively easily with a grinder and the proper disk/blade aren't going to be cheap, They're also very brittle and hard to work with, and/or extremely heavy. However good chain link design helps by making it difficult to get a good angle and purchase on the chain when cutting through it.
High carbon, high molybdenum steel is harder to cut with an angle grinder. The addition of carbide further wears the blade, slowing progress. The problem with high strength is increased brittleness. You'd have to use a fairly thick cross section and design it in such a way that it would be difficult to strike with force or difficult to pry apart with a jack. Steel like this isn't cheap and is hard to work with than other steels. It's a trade off between being saw and grinder resistant but more vulnerable to cutting torch or impact force.
Making a chain that can't be cut with a diamond wheel on an angle grinder is a tall order. The paradox being in order to make a chain the metal must be workable, so the same means used to produce it can be used to defeat it, i.e. mechanical force and or heat. Buy the best you can afford.
That is all correct. Good chains for locking (motor)bikes are usually hardened somewhere in between - not brittle enough to be easily broken with a hammer and a chisel, but not too soft to be easily cut with bolt cutters. Such chains do have a hardened core (as well as the outer part), just not hardened too much so it becomes brittle. Some cheaper chains have just the outer part hardened, so you can't tell how har to cut they are, until you actually try to cut them. Checking the outer aree of a link it feels and looks just as a thoroughly hardened chain.
Leaving a chain not lying on the ground (and making sure it's a tight fit), leaves the thieves without the luxury of using the ground as a leverage, or as an anvil for the hammer/break approach. For U-locks, that means not leaving room for a car jack to be inserted inside the U part of the lock (so too big is bad).
So, with a good quality chain with links of at least 10 mm (better at least 12 mm) cross section, hexagonally shaped (for a wider area in contact with bolt cutters), it takes very long and good quality bolt cutters (over 50 cm handle), placed against the ground with the body used as a leverage to cut the chain. And it usually needs to be done twice on one link. Or about 20 cm of cutting with a good hand saw with a decent quality blade. Or lots of noise and (relatively long) time with a battery powered angle grinder. This is often enough for the thieves to seek easier pray. Combine that with an alarm as a psychological detterent and bother during the work and, for the about 20 years old Fazer, you're pretty safe. Nothing beats a good garage, though (out of sight).
Making them work for it is the best one can do. If they were into working, they wouldn't be stealing, after all. Also, two good chains is better than one. Or a chain and a cable lock. Amount of work needed is crucial. As well as the amount of noise (and light if using an angle grinder in the dark) - thieves don't want to be heard/seen and caught.
The "extremely heavy" part:
Yes, steel weighs as much as it does. Many manufacturers of bicycle safety chains encase their chains in rubber, plastic, or nylon. So it's often not too easy to see just how thick a link is. When people ask me to see if their chain is any good, the first thing I do is just take it in my hands, holding it in the air. If they're not heavy, there's not a lot of metal used, so the cross section can't be very thick. One of the most often heard complaints when I hand people what I'd recommend to be a good chain/lock is not the price, but "oooh, it's too heavy!"