Do you own or rent? If you own, get the saw out and install one of these in the wall between the studs (then you don't loose too much closet space either).
(jeebus ... didn't see JM's post until AFTER I posted)
I've been looking at one of those for a while. Seems like there's a big difference between the cheap wallsafes and the "nicer" model like the one you linked. Anybody actually have one? That's what I was looking at for a closet safe...