A data collection and processing apparatus with anti-theft function, a system using the apparatus and a data collection and processing method thereof are provided. The method includes the steps of: collecting relevant information regarding at least one targeted object, wherein the relevant information includes status information, operational information, environmental information of the targeted object, and user information of an owner or user of the targeted object; and performing an alarm when detecting that the targeted object is not under a normal status. The data collection and processing apparatus includes a transducer module, a master control module and an alarm and data processing module, which may form a local network connection or a distributed data processing network. In addition to performing anti-theft function, the present invention is capable of collecting various relevant information of the protected object. Therefore, the present invention is particularly useful in public establishments, such as retailers, exhibitions, hotels and banks, for merchants or owners to assess the use of their displayed merchandises or service facilities.