Ok so call the police. You have surveillance cameras. Why didn't security do anything? When you try to physically stop thieves you can actually put yourself at risk for lawsuit or even injury.
There are 5 things you need before you can make a citizen's arrest for shoplifting.
1) You need to see them take the item off the shelf
2) You need to see them conceal it
3) You need to see them pass the casher without paying
4) You need to see them take at least one step out the front door
5) You need to maintain a constance surveillance from step 1 until step 4
If you make an arrest without observing all five steps the subject can sue for false imprisonment.
Those security sensors are for amateur shoplifters who don't know their rights. The store is hoping that you'll either confess or drop your shit and start running. Some shoplifters will even steal security tags to deliberately set them off hoping to provoke the guards and get a settlement.