Disable automatic login
It is perhaps annoying to have to enter your password every boot, but it is a little price for preventing someone getting into your account and accessing your data.
Go to Apple > System Preferences and click Users & Groups.
Click Login Options at the bottom of the list of users on the left.
Click the lock at the bottom of dialog box and enter your password when prompted. This allows you to make changes to the settings.
Select Off from the Automatic login dropdown list.
You will have to enter your password every time you boot your Mac.