They can, and sometimes do, physically restrain shoplifters who attempt to flee. Can something happen? Yup, they can file a police report. Are they going to for a package of cookies? Unless they were really expensive cookies, I wouldn't worry about it. Do NOT return to that store for the foreseeable future as they will watch you like a hawk. Next time you might not be so lucky and the LP on duty might decide to stop you the hard way. Again, not likely for cookies.
Left without incriminating yourself? Nope. LP's don't stop someone without knowing everything they need to prosecute. The LP just chose not to push the issue over a pack of cookies.

