Walmart calls the cops, have you follow them to the Asset protection office, and sort it out from thete.
Store loss prevention employees usually rely on intimidation/fear to keep people in line.
I'll never forget one incident in college when a buddy and I went to Fry's to pick up some computer parts. As we were walking out the door, one of the store loss prevention guys comes over, grabs the motherboard box out of my hands and demands to know if I paid for it.
Given that the store exit was just past the registers, I was understandably miffed (and wasn't in the mood to be pushed around). After he refused to give it back (and threatened to call the police on me for the cardinal sin of trying to walk out of the store with my purchase), I ended up following him across the store and back behind the cashier area (which was supposed to be employee only).
Of course at this point, I think I was the one doing the intimidating. Even though I was much smaller than him in size, I was repeatedly (and loudly) requesting that he return my stolen property and asking when the police were going to arrive. I also refused to let him out of my sight until he handed it over.
Eventually I got an apology from the manager, but it was an interesting turn of events. Mr. "Security Guard" had no problem being aggressive at the outset, but as soon as I challenge his actions, he just turned tail and ran.
To this day I don't know what he was thinking. The whole thing was just bizarre.