Yeah, if lightning strikes an indoor antenna, your scanners being popped will be the least of your worries...
Seriously though, sometimes during a storm, you don't have to be hit directly by lightning to seriously fry sensitive electronics. Sometimes, a hefty static discharge is all it takes to pop your favorite scanner.
While lightning technically is a HUGE static discharge in the atmosphere, a smaller one will do damage as well. It's a good idea to always unplug during a storm. It might be a pain in the butt, but I've learned sometimes pain in the butts save your butt!
As mentioned, throw on a good duckie, or telescopic antenna and continue your scanning adventures.