The anti theft system doesn't prevent the key from turning, it just makes it so when you turn the key it doesn't do anything. Its also supposed to say "theft" until you start the car with the key.
Try turning the key while turning the steering wheel left and right. If it was turned off with the wheel slightly turned, the lock mechanism is being held tightly against the cylinder preventing it from turning. Its like trying to unlock a deadbolt while you're pulling the door; the friction is too much to overcome with the key.