Interesting question.

On the one hand, there's not reporting them - so zero personal safety issues (if you're seen reporting shoplifters, you could always be susceptible to a revenge attack).

On the other hand, 'shrinkage' (stock that gets stolen) will no doubt add to the prices other shoppers have to pay for items. Why should you pay more to cover others acquiring goods for nothing?

Then, ultimately, you have to consider kleptomania as a mental illness or, worse still, that the person shoplifting does so to cover for more serious issues - eg. drug addiction. Therefore, reporting shoplifters might just see you helping a person in the long run.

Edit: Of course, you could apply all / most of the above to just about any situation where someone isn't paying what they're supposed to for something (eg. taxes, royalties etc.) and lots of other types of crime for personal gain.