That is wrong on way too many levels. I once had a job in “loss prevention” in a major department store. Our security guards were on strict orders that they had NO authority once the person left the building. You had to catch someone red handed, on security camera, or you lost your chance. End of story.
I have personally witnessed people shoplifting, called it in, and was told to let it go if they had made it to the street. I’m not sure if that was store policy, or the law, but it’s worth checking out.