You don't need to feel guilty but you do need to confront your friend both for your peace of mind and for the sake of the friendship. Be clear about what you dislike regarding her behaviour. If she really wants to be your friend, she'll address this problem.

Shoplifting is a crime. If you choose to stand by your friend, you have a responsibility to help her realize the implications of her actions. You might suggest to her that she speak with someone who will be able to help her with this problem.