I do not know about elephant, horse, camel or even rhino but I do believe the devs did say they will allow thralls to carry them. Also that enemies will randomly spawn to attempt to take the treasures from you (and you can go back there to fight them again should they in fact take the treasure and attempt to regain it).

However, as @Harperson mentioned transport stones make the walking fairly limited.

Also, the smaller treasures are pretty easy to obtain and they just go into your inventory thus you do not need to walk around carrying them. Between those and gold/silver bars / coins / dust you can easily build up your treasure horde level.

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