The thing is that it is probably being stripped for parts or reformatted as soon as it is being turned on. I doubt the thief would boot it all the way through to a login prompt or give it enough time for startup code to run. Even if they did, you would need to have some kind of cellular modem or wireless network to get around all of the physical wire / IP configuration issues.

Hmm... Cell modem... You would still need to have some kind of code to do a "phone home" with meaningful (i.e., GPS) data...