The first concern is that if they are getting in, so too can other predators who can do more damage than steal feed and/or spread disease. On that front, reassessing your security measures may be in order.
To address the feed loss - option one is to use a treadle style feed dispenser(s) - the birds are heavy enough to trigger the treadle and access the feed, smaller animals like mice are not. Alternatively, as most of the feed loss from mice, etc tends to come at night when the birds are not active but the rodents are, removing (or covering) feed from dusk to dawn can also help to limit the issue.