Well, at least you probably won't have this happen to you!
Again, I do agree on showing them the consequences of their actions whether they affect them directly or not.
For example, if they murder a ton of police, the next time they visit the city, describe the city in chaos, with criminals killing, raping, robbing, and pillaging people in broad daylight to their hearts' contents, with the city guards powerless to stop them.
Or, if they attack a powerful rogue's guild/cartel/crime boss with weapons that a weapons dealer is well known in selling, the next time they go to the shop they see the dealer dead, lying on the display cases of his shop, with them broken and the place ransacked, with the symbol of the orginization present.