Is a security key (U2F) less secure than OAUTH/OTP or authenticator apps when there is a possibility the key can be stolen?

So I wanted to research this topic for a while, and so far I have found this thread which discusses it: https://www.reddit.com/r/yubikey/comments/hwl8sp/comment/fz0f0p6/

Of course the benefits of localized and phishing-resistant 2FA is way more secure from online attackers, It wouldn't really be from attackers in the real word, as they can get into all your accounts if they get your password(s) somehow and find your key that you have plugged into the laptop all the time.

OTP has the benefit …

apps authenticator key oauth otp privacy security security key stolen the key u2f