Another option is to just throw high CR monsters at them, and make them fight smart. Let them know that their artifacts are attracting a lot of attention, and word is spreading in unsavory circles.
D&D is like being in a war-torn country, so it's dangerous enough already, but add in the million/billion dollar artifacts they're carrying around, and people are going to pay attention. What do they do when an entire mercenary company of 200 ambushes them? What about an archmage and a couple balors he summoned? Boost the CR and try severely testing them. Don't make it unfun, but let them know they've become instant legends and have moved into a new area of the game because of the treasure.
Look at what got thrown at the Fellowship of the Ring when Sauron heard a hobbit found the ring. Epic level Ring Wraiths? Check. Orc armies? Check. Crazy archmage Saruman? Check. That's what happens when artifacts of legendary power fall into the hands of unsuspecting people. You can just roll with this game changing into something bigger, more epic, and more dangerous.