There is no point in insuring against a predictable cost of doing business. An insurer would simply charge a premium equal to the expected amount of theft, plus a margin for their profit and the (small) risk they are taking. For the many retail stores where insurance doesn't make sense, filing a police report is just extra wasted time and effort if it won't result in any tangible results.

You think stores buy insurance against shoplifting?

You think insurers offer it? How much do you think it would cost?

My estimate for the cost is on average more than the shoplifting costs... Plus all the administrative work.

The correct answer is - it would be prohibitively expensive to get insurance for shoplifting, so shops don't have any. They just take the hit as "shrinkage".