This is the last time I park on this side of town!
When people park on the wrong side of town, sometimes their cars are robbed. But here, the wild-west parallel is that, if a cowboy "parks" his horse on the wrong side of town, a robber might steal the skin from it. It's funny not only because the caption frames a modern concern in a wild-west light, but also, because the robbers were quite thorough.