One of my skeet shooting friends is a local(New Orleans) residential contractor who has done closet-to-safe room conversions. He says the most economical way to line the room is with 3/4 inch plywood covered with a cloth. Thick velour is a good choice. The access door and frame(steel I'm sure) is a special order with inside hinges and a locking crossbolt extending from the center of the door to both sides. The room is typically trimmed out the the customers specs. and equiped with a PIR detector tied into the house alarm system. The more fancy installations can have a concealed door disguised as a built-in bookshelf or paneled wall. He claims installation costs about the same as a good, high capacity steel safe.
I know it can't be as secure as a steel safe, but the idea is to make a break-in too time consuming for the thieves.