Things like this have been made, but there are challenges:
* you have to prevent replay attacks, where somebody just records a session and replays the response
* lower-power devices are usually vulnerable to side-channel attacks, for example you can limit the power supply just to threshold where it starts working, and then you can infer information about the internal state and possibly key material
If you look at practical attacks against existing key fobs, you'll see that there are a lot of things that can go wrong in the field.
Are there wired electronic keys? No wireless vulnerabilities, and no picking, either. There'd be something like opto-isolated data and a separate circuit powering the key to protect the lock electronics.
Edit: This concept is called a 'passive electronic lock'
* you have to prevent replay attacks, where somebody just records a session and replays the response
* lower-power devices are usually vulnerable to side-channel attacks, for example you can limit the power supply just to threshold where it starts working, and then you can infer information about the internal state and possibly key material
If you look at practical attacks against existing key fobs, you'll see that there are a lot of things that can go wrong in the field.