Um, even if they did that. Someone could steal their harddrive etc. And if they got a trojan on the system, odds are most people wouldn't be looking for wallets (just yet), and even then, it's only a matter of typing a few commands to get a system level console.
If someone can get physical access to your computer, even Linux with encrypted hard disk is no protection. They could install a backdoored kernel that leaks your password.
You can actually restrict running cmd.exe using the software restrictions, but as I said this doesn't mean that another program you trust couldn't be hacked to do the same things.