There is no such crime as intent to shoplift or anticipated shoplifting. You do not have to keep looking over your shoulder for the police to arrest you. However, you should realized that Macy's has your picture posted and will be on the lookout if you ever shop there again.
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Technically, you DID steal something.
Mr. Fink, who does not practice criminal law, apparently doesn't know that someone can be convicted of theft, even if they don't get away with the goods.
By picking up the merchandise and carrying it around with the intent to steal it, you committed theft. What's more, if you planned to steal something when you entered the store, you committed a burglary, which is a much more serious crime.
The store's loss prevention officers could turn their reports and videotapes over to the District Attorney, who might decide to prosecute you. That's probably unlikely, but it could happen.
If you don't want to worry about being prosecuted for theft, don't try to steal stuff!
Please be very careful what you say, especially online. If you walked into the store with the intent of stealing, that could be a burglary. Burglary only requires entry with intent to commit a felony - it does not require completion of the act. The answer to the question as you posted it is yes, you can get caught after leaving the store.