From LQWiki

If you can touch the system, you have "physical access" to it. This is the hardest computer to secure. You might have thought of everything, with software patched and up-to-date, unguessable passwords, and firewalls to keep everyone bad out, and then the janitor decides to pawn your server to make a quick buck (or to shut it off to plug the vacuum cleaner in).

Aside from outright theft of the system, a "local" user can boot other media in an attempt to get around login systems, install keystroke loggers, network sniffing equipment, and other nasty things. Less maliciously, they can be unplugged, knocked off a desk, kicked, turned off, used to hold drinks, and more.

Typically, securing the physical access aspect of the computer is done by locking it in a room which only designated administrators can open. Even fancier would be a keycard system that tracks who opened the door at what time, so that in the event of the room suddenly becoming empty, someone can be blamed.