Very sorry to hear this. Crime on Kalymnos is usually a rarity. People leave expensive cars with their engine running whilst they go into shops. Keys are left in scooters. Doors are left unlocked. Walking down quiet streets at night is never threatening. However, I have heard of petrol and boat-engine theft at Myrties harbour so maybe this also is a spot to avoid in terms of protecting your possessions.
Hope you manage to enjoy the rest of your trip.