You can set an EFI password, which will prevent anyone from booting anything but the HDD without a password, but it may have unintended consequences if you want to use something like Boot Camp. Of course if you have physical access to the machine, then that's easily defeated, and someone could just take the HDD out and wipe it as well. A Kensington lock won't do anything to prevent the removal of the bottom case to let you access the HDD.

The long and short of it is, if someone has physical access to a computer (any computer), there's very little you can do security wise.