People think that if they refuse to talk, they'll look guilty. An innocent person would want to clear their name so they'll sit for the interview. If the person really is guilty, they'll probably get tripped up somehow during the questioning and get cornered. Of course they can still leave at any time but they think that as long as they keep talking, eventually they'll convince the investigators that they are innocent.

Loss prevention isn't like the cops, they actually want to catch the thief because if they don't, the thief continues to operate. Cops just need someone to pin it on. Crime continues regardless of whether or not someone was wrongly convicted so what does it matter that one guy got away as long as the public thinks you're doing a good job? LP looks bad if theft continues, no one is applauding them for doing their job.