when I was the same age I tried shoplifting too. My mom was buying me a pink plastic hello kitty chest of drawers (but it was very small) and when I realized it didn't come with the cool little toys that were in the drawers of the display model I decided to put the little toys from the display model in my pocket so I could put them in my drawers when we got home. I didn't get far (I had my hands in my pockets in a weird way and was acting funny) - we were outside of the shop when my mom realized what I did and she pulled me inside, yelled at me, made me give the stuff back, the shopkeeper shamed me and I went home crying (with the set of drawers which even though I liked them never failed to remind me of the horrifying event). Ugh.

So it was probably one of those little-people ideas that don't make sense (it costs too much buy maybe if it just kind of comes home with us and no one sees it then it'll be ok and we can have it) rather than a well thought out plan - he told you about it, and if it was a well thought out plan he wouldn't have said much probably. Also, five year olds can't really think abstractly yet, so I am sure it was just weird kid-think.

If it were me I would probably sit him down (with no one else around) and do the whole "I was really surprised that you put that thing in my bag from the gift shop yesterday. We need to buy the things they sell in stores, we can't take them even if we really want them - does that make sense? (hopefully yes, if not, explain why) I got really upset about it, didn't I? (hopefully he'll have something to say about how he felt about that) You told me you like the way it moves (see if he has anything to say). Even though it's really cool and moves really cool it's not ok to take it. We need to return it to the store - how do you think we should do that (if he's old enough to come up with a reasonable answer, if not you could suggest mailing it with a letter of explanation from him -you would write down what he said- this would avoid the drive and also the unpredictable nature of what might happen when you get there (are they going to threaten him? shame him? something you don't want - you could call them and ask too I guess, I don't think it's wrong to make sure the return experience is ok with you). And then offer some type of punishment if you think he needs it or if you think he'd feel better (like he paid the price or whatever) - like no visits to the gift shops for a while, or no visits to the museum for a while or no new toys or something like that.
So yeah, I would avoid traumatizing him about it but I would get the toy back, make sure he understands the rules and then forget about it. If it happens again then maybe get more hardcore or whatever, but kids aren't bad, they're young and inexperienced.