While I have occasionally seen a GM pull of the "Grand Theft Auto" game, it isn't something anyone should be expected to do every night.
If I were presented with a group of players who just wanted to get their murder on, I'd point out "It looks like you guys just want to play GTA, which is fine except I don't think I'm up to the task. I don't think I can create things fast enough for you to continually destroy them. I'll run out of material too fast, you want someone with more on-the-spot creativity." It would be an honest admission of my own limitations. It's a hard game to run, and I'm just not that good.
I have handled it differently before. Through happenstance alone I happened to already have some extremely powerful NPCs written up. This was a different system (Marvel Universe Role Playing Game) where players have super powers from the start. They were enjoying their super powers (namely their ability to teleport anywhere they wanted, run anywhere they wanted, etc. on the entire globe) but I quickly figured out that shit wasn't going to work. Thankfully powerful people tend to get noticed, and that's what happened to this group. A particularly nasty NPC - whose power happened to be feeding on life energy - noticed some big sources of energy running amok, and went in for lunch. They skirmished with him a couple times, always being overpowered because they were always split from the group, until finally when they decided to cooperate with each other and stick together they managed to take him down. It all felt very natural and wholesome to me.
The lesson I learned is that bad behavior gets noticed, and powerful forces intervene, always for different reasons, but always. You can't play GTA in a world that you can respect and believe. A believable world stops you. So if players insisted on just going apeshit I'd let them, to a point, and then they'd meet whatever force that world possessed that prefers you don't do that. They've all got'm, and no matter how invincible people think they can get in D&D, a determined enemy can and will find you and kick the shit out of you unless you're prepared specifically for them and only them (which you won't be because you were playing in a sandbox). That's how real conflict works, and the game reflects reality.
The DM doesn't just have as much say as the players, the DM IS a player, just one with a different set of goals and responsibilities. You shouldn't be required to have a miserable evening any more than they should. It's a co-op game.