kleptomaniac is the term used for someone who has a psychological compulsion to steal.
Whether one would actually call them this to their face, or use other words, is another matter and would need very careful thought before doing so.
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The disorder that gives the impulse to steal, is known as kleptomania and the people affected are kleptomaniacs.
The compulsion to steal and inability to control it is known as kleptomania. Therefore, a person who suffers this is known as a kleptomaniac.