It's more like if an item or 2 "sneak in" and the checker just lets them go. It'd cost more money in congesting the line, grabbing security, etc. to contest that item than it would be to just let them go. They don't want to press charges on someone who spent $100 because they wanted to sneak some $15 pills by. All stores expect X% theft anyway and build it into the price of their item (or secure it better if it's a small, often stolen good, like tech).
It's probably a cultural choice, though. Meanwhile, the Walmart down the street is much more aggressive on that stuff.
"Pressing charges" isn't a thing.
Seeing as Costco exists in Ontario, Canada. Where citizens with knowledge of a crime can use private prosecution.
The only plausible thing is to steal at the self-checkout, but the receipts are different and cause more scrutiny at the door.
First, because of the size of the products themselves. It's hard to conceal them. And small items come in blister packs which are hard to open even at home. Second, because they have cameras and have almost every shopper's photo and address on file. Third, because they have the receipt checkers at the exit.
I'd love to know how theft happens.