Betty - panic rooms tend to be the sort of thing people build who are in danger from kidnap or assassination. If you are in that situation or have very high end work of art or known to be very wealthy you need a security expert like Kroll to come and assess your entire security situation.
In general though casual thieves want to get in and get out with what they came for. We had our house assessed by someone who is a Master Locksmith who also fits security camera and high end security measures such as reinforced doors.
What he told us is that a casual thief will always look for an easy target and avoid anywhere that has good quality window locks on every window, lights, locked gates, gravel paths and drives as well as things like defensive plantings such as roses, thorn bushes and even window boxes. Ordinary burglar alarms are fairly useless as everyone ignores them and the alarms wired to police stations are expensive and police will not monitor them if there are a series of false alarms.
Thieves also will not break windows because of the danger of cuts leaving blood DNA and also the glass itself becoming embedded in shoes. They want to leave no clues as most thieves are already known to police and easily detected using databases.
Unless you are in a very high risk category, I suggest you look at building layers of lockable doors around you in your house that can be locked at night.
So for example. Our locksmith identified the back of our house as being vulnerable so we have window locks on all windows but then an internal high quality lockable door that leads from the dining room which is the back downstairs room that we can lock at night. Same with front ground floor room (our office) and basement.
Even if thieves got into dining room, office or basement they need to first defeat rose bushes and metal grills, then window locks and then an internal locked door that are solid oak. Most thieves will just give up and they would make so much noise we could escape. We also have key operated locks on our bedroom door so we could stay in there and our children are very close physically to our bedroom.
In essence our panic room is our bedroom but we have built barriers to give us time to get there at night. We also always ensure we have two mobile phones with us in our bedroom with chargers as ordinary wireless house phones are easily disconnected or wires burn through in a fire.