Bags can sometimes be snatched from cars in traffic, so keep your doors locked.
Marseille is a large city and has some problems with a sizable poor minority / immigrant population from its suburbs in the north who prey on easy targets like tourists. So watch out for pickpockets in busy areas and muggers in quiet locations at night. Thieves may work in a team to distract you.
Some women report being hassled by groups of rude Arabic / African men who shout and gesticulate at them.