According to What is Intel Anti-Theft Service? it does support Windows 8.
Operating System:
Windows 7 (32-bit), Windows 7 (64-bit), Windows 8, 32-bit, Windows 8, 64-bit
However according to here: Operating system and browsers
The Intel® Anti-Theft Service supports Microsoft Windows*7 operating system, and the following browsers...
It only supports windows 7. Note: This article was updated more recently than the first.
This article, updated several months ago seems to indicate it will work:
Intel® 3rd Generation Core Processors and Windows 8: Better Together
Security Enabled: Anti-theft technology (i.e. AT) and Identity Protection Technology (i.e. IPT) are those security features embedded into Ultrabook platform
It's probably the case that Intel haven't gotten around to updating all their articles but as they are contradictory your mileage may vary and you may want to get direct confirmation from them, or another user of their product.