They have your face and whatever else information you give them when you check out. It's all covered in cameras. Doesn't take much. I'm sure they don't get everything and they have false positives. But if you become such a problem for them yeah.
I don't have any real experience with this but I think it's actually hard to catch the accidental thefts and such who they are losing so much money and starting to rethink these things.
This is an urban legend