Putting XREFs on locked Layers will prevent altering them [Erasing, Moving, etc.], but as @imadHabash mentioned, will not prevent them from being selected. [You could, for example, still select them to view their Properties, whether in the Properties box or a LIST command, or use elements in them as EXTEND or TRIM or HATCH boundaries.]
If you want them to be entirely unselectable for any reason, there is one way I know of to do that, but it's a rather weird workaround, and you may have several good reasons not to do it. But if not, it "works": put them on the DEFPOINTS Layer, and turn off or freeze Layer 0. For some reason, when Layer 0 is off or frozen, things on the DEFPOINTS Layer are still visible, but can't be either selected or Osnapped to.
Kent Cooper, AIA