The facts are that it is impossible to keep a bike from being stolen by a skilled and/or a determined thief.
I was fairly excited when I saw a bicycle design that actually used the frame as the locking mechanism some time ago. If destroying the locking mechanism means destroying the frame, there is little reward for stealing the bike. However, a friend who is a hobbyist lock pick pointed out to me that few locks are immune to picking or some other method of unintended opening.
Long story short, no method of securing a bike will work against a skilled and determined thief. Most people settle on a method that requires some inconvenience on their part that imparts some amount of security. The methods that are more secure are generally less convenient and vice versa. However, I have yet to see a method of complete security, although I could think of several which would completely eliminate convenience.
The method you describe would still be vulnerable to having the chain cut. With the proliferation of cheap, mostly portable power tools, almost any chain can be cut anywhere in a very short amount of time. Buying a carrying a ridiculously heavy chain might possibly double the amount of time for it to be cut (30 seconds instead of 15!). The weight difference you would have to carry around for that extra 15 seconds should make it beneficial to very few people.
The video you linked makes a big show of using huge bolt cutters. It doesn't bother (deliberately) to bring out a much smaller, more portable and more useful grinder. The below video should give you a better idea.