I don't know if the option for this exists at the momemt, but a possible workaround readily springs to mind, if you happen to be using Xfce.
If you right-click on the panel, and choose "Add New Items", one of the options in this window is to add a pair of buttons for locking the screen or logging out. Click on this, and then click the "Add" button in the lower-right corner of the window. If you add this, this way you should at least be able to manually lock the screen before you put it into sleep mode, assuming that this option works (though I'm aware of no reason why it shouldn't). (However, I'm afraid I can't test it at this time. Sorry.)