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On the newer trucks, you really don't need a locking gas cap. The filler hose design on the newer trucks makes it almost impossible to get a siphon hose down. Today, if someone wants to steal gas they drill a hole in your plastic gas tank and drain it.
I know of no aftermarket locking gas cap that has the tether. Stant makes a locking gas cap in black, yellow (E85) or green (diesel) part number 10510, 10510Y or 10510G but none have the tether. The stant cap does not require the key to lock it back on.
I just replaced my locking cap w/key with a stock cap because I was tired of not having the tether. I feel your pain with wanting the tether. I just didn’t like setting the cap down in rain or snow.
It never bothered me to not have a tether. I would unlock it, lay it and keys on top of tool box. When finished fueling, would remover keys, screw on cap and be on my way.
When I bought an OEM locking fuel cap from Ford, with it's own factory tether and two keys, I was worried about what people might put IN the tank (sugar / water / sand) by (vindictive vandals / parking lot pranksters / road rage revengers) just as much what fuel thieves might take OUT of the tank.
And even when attempts at siphoning fail, how dirty was the hose they stuck inside in the attempt?
I recall when looking up the locking fuel cap at Ford, that there many more locking gas caps available for gasoline vehicles than there were fuel caps for diesel vehicles.
Since I bought the locking cap from Ford the same year I bought the truck (21 years ago), I no longer have a part number handy. Besides, you would need a different part number for a gasoline application.
As long as the fuel neck flange isn't "capless", Ford likely has several iterations of tethered, locking gas caps that will work (match the correct thread opening of the fuel neck, and not set an evaporative emissions code).
If your more worried about putting something in, maybe a lock on the gas door. I hate cap tethers, first thing I do to a new vehicle is remove the tether.