This was a valid excuse, as Zim was known for such behavior, but it didn't completely take away his suspicion. Zim would be watching him closely, very closely. If there was any hint of brain-wanting, Zim would be sure to catch him. No one stole the brainmeats of Zim! NO ONE! Except himself, but that only happened once.

...Wait. Antennae? Zim froze, slack-jawed before he reached up, patting his head. His wig! It was GONE! "NOOOOOOOOOOOOOO!" Zim cried out, falling to his knees and raising his hands up to the sky. He even clenched them into fists to display the SHEER DISTRESS that was going through his mind.