If you haven't been with her when she says this happens, I would be inclined to think it is her imagination.
If on the other hand you have observed this when you are with her, here are a few things to consider. Does this happen to every customer in the store ? If not, what is it about her that is different than the other customers. Does she dress and or act differently, etc ?
Considering that most stores - even national chains - do NOT have regular staff assigned to loss prevention duties, and those that do are regularly staffed for all hours, you have to wonder as to the truth of her belief. Similarly, management has better things to do than follow suspicious customers.