It's only illegal if you get caught. Besides, it's called "self defense" lol...
There are lots of places that I think would be fun to take a thief if I ever caught one. It sure wouldn't be the police station, what's the point?
I finally made good use of a little cheap security camera the other morning. I set one up at work a while back cause cat thieves keep cutting through the fence and stealing cats. Caught a few people on camera after the fact but never live. The other morning I woke up to an alert and was able to yell through the camera and spooked the guy off.