There is a halachic chiyuv of tochacha in certain circumstances, as pointed out above by Yekke (and maybe others), but how to do it is not necessarily so simple, and one has to really think carefully and evaluate the situation and the best way to deal with it. (and maybe ask a sheilah).
Giving tochacha the wrong way can be an aveirah and may be worse than not giving it.
(Frum?) Jews rarely shoplift, so the two things I would want to figure out are: 1. Who is this person, and 2.Why he is shoplifting?
Are we talking about someone with psychological problems, a kid-at-risk, a hardened criminal, a desperately poor person or a kid giving in to peer pressure? Is he a child, a teenager, or an adult? Do you personally know the person?
I think that how one deals with it would depend a lot on the answer to those questions.