There are 3 factors that are at work here. Tackling one of them might solve your problem.
- Your proximity to the conference room.
- The (apparent) lack of chairs in the conference room.
- The fact your colleagues think it's OK to take your chair.
Number one is something that might or might not be fixable. If you can somehow move, that would solve your problem without causing trouble with a whole department. This is your least likely shot, to be honest.
Number two, like BVR said, is fixable through contacting management (or whoever is responsible for the furniture) and asking for more seats in the conference room.
Number three involves knowing the culprits. Here company policy comes into play, and this can't be answered without more info. Depending on which rules apply within your office, you'll either have to go through management, talk to colleagues or label your chair and hope for the best.
If you put a label on the back of your chair, make sure that it is conspicuous enough for it to be very visible from 2-3 meters away, so it attracts attention. Make sure it doesn't damage your chair if it isn't your own property.
Knowing the culprits will definitely help. You can address them and see if they're open to reason. Overall I'd wait with going through management until you've tried this.