were there any attempts to steal it?
Yes. In 1983
Shergar
In 1983 he was stolen from the stud, and a ransom of £2 million was demanded; it was not paid, and negotiations were soon broken off by the thieves. 
who is shergar? Irish-bred, British-trained Thoroughbred racehorse
wiki:19501722
Shergar [SEP] Introduction
He said that very soon after the theft, Shergar had panicked and damaged his leg, which led to him being killed by the gang. An investigation by "The Sunday Telegraph" concluded that the horse was shot four days after the theft.