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.

Having worked in retail and customer service for shops, I can say that when things go missing, the employees are also suspects and it's no fun. Especially when it IS an employee until they are caught out. If there was a shoplifter, we would get warned and scolded for not being vigilant enough, because our boss is also going to get warned and scolded. I think I would report the shoplifter to the person working at the store. Even if they can't do anything about it, because I would do so discretely so that the shoplifter would not know that I was reporting them, they would know and their manager would know. I would do it for the clerk's sake, more than to report someone, so that the innocent person doesn't get accused of either stealing or not doing their job properly.