Gonna ignore that really weird comment, but the reason that rule is there isn't because of some weird interpretation of right and wrong, but a few reasons:
I believe this to be the most important, it can be potentially dangerous to try and stop them. Walmart is a multi billion dollar company, even if they lose $5000 worth of stuff and can't track them down, they'll be fine, so it's definitely not worth risking your life.
If you are still worried about the company because they just got robbed, don't. The companies themselves don't want you to play hero for a very similar reason. If you get injured or even worse die because of it, that is a lot more expensive for the company than the thieves making away with their goods. Or maybe you're mistaken and they were law abiding shoppers, now you open the door for lawsuits which is also expensive. Side note - my dad worked at a bank. One of the first things they tell you is if the bank is being robbed, just give them the money. They even specifically said if you try to play hero, you will be fired, even if you're successful.
If this was a mom and pop business, I'd be a bit more sympathetic but even then, still don't. Businesses way more often than not have theft insurance so they'll get reimbursed.
And EVEN after all that, if it was a mom and pop business that you know didn't have theft insurance, don't risk your physical well being for "stuff." I'm going to sound really cliché, but material goods can be replaced, your life cannot be. If you really want to help, Take a picture, jot down whatever defining features you can, grab their car information, take a picture of video, and call the cops.