True you can cancel your card, but often times you don't even know it's stolen- they don't need to steal the actual card- only the number. And there are all sorts of ways of doing that. And by the time you find out (when your bill comes) they could have drained it dry.
A subcutaneous RFI chip is probable the best technology- at least from a convenience standpoint, but people are already howling about this idea.
I agree no method is 100% infallible, but any of the above is more secure than what we have now.