Putting a tracking device in an instrument is a bit of a problem; but putting a tracking device, of a sort, in an instrument case is pretty trivial.

All wireless telephones, at least in the US, have been required to have GPS capability for a couple of years now. Thus any phone left in the accessory box in your case can tell law enforcement where the phone is located. If the phone is buried in a bunch of stuff like tuners, spare strings, a few hundred picks and the usual other miscellanea most musicians have there, it's likely to be unnoticed until there's an opportunity to make at least one trace.

You would need to make a habit of always keeping the instrument in the case when it's not in your hands to have good odds that the case will be stolen with the instrument; but the more valuable the instrument the more likely that the thief will want to take the case "if convenient."

With many prepaid phones, you can buy a year of service for about $100 US, and you'd have to keep the service turned on; but that's probably a little less than you'd have to dish out for a GPS bug that fits into a good instrument without spoiling the music.

John