I would report them. I wouldn’t approach the person because you dont know if they are carrying a weapon. When I worked in a department store, we were not supposed to accuse anyone of stealing. It was just assist them with the inventory buttons on the item. The security was to deal with them.
You are right! Plus, the company didn’t want extra liability from us as the employees. I don’t blame them and it was very wise. 🙂

Thank you Jill for your answer. You are obviously talking from experience. By taking things into you own hands you will just be putting yourself at risk. It’s good to let the security deal with it but discretely because if the person knows its you who reported you will be putting yourself in danger too.