Some visitor corrupted them to steal those artifacts for them. You gotta use justice system and interrogate your dwarves and visitors to determine the culprits, then deal with them accordingly. I like that — keeping spies and thieves out of your fortress fleshes out justice system and also generates a lot of cases, that you can then use to not only prosecute the criminals themselves, but also any undesirables you want (spying usually warrants a long prison stay, several hundred days, and one spy can generate 2-3 cases with diligent interrogation, those can then be used to make bards, nobles or necromancers go insane in the cell, even though they have nothing to do with the actual spy). There's an easy way to determine which visitors are villains BTW, pay attention to their purpose of visiting.