The alleged incident took place at a Sephora store on 86th Street on the Upper East Side.
Caroline Giuliani was seen on security video pocketing makeup, police said.
The a 20-year-old Harvard University student, was seen taking five items worth more than $100 at a Sephora store in Manhattan, New York Police Department spokesman Paul Browne said.
Sources said the items were a Slim roller ball funnel, Dior skin flash primer, Hd bliss, Aqua cream and a Sephoric hair net.
Store managers, after calling police, said they didn't want to press charges against her, Browne said. But police arrested her on a petty larceny charge, he said.
Giuliani, wearing black pants and a red sweater and with her arms folded, exited a police precinct Wednesday evening and quickly got into an SUV with her mother. She did not respond to reporters' questions.
Her father, through a spokeswoman, said the case was a personal matter and asked the media to respect her privacy.
The Manhattan district attorney's office had not decided whether to file formal charges against her, office spokeswoman Erin Duggan said. She's due in court on Aug. 31.
"Once we review the case, we will decide whether or not to file a criminal complaint," Duggan said.
Caroline Giuliani is the younger of the former New York mayor's two children with ex-wife Donna Hanover, a television reporter and actress. She is believed to be estranged from her prosecutor-turned-politican father.
In 2007, when Rudy Giuliani was seeking the Republican nomination for president, Caroline Giuliani listed herself as a member of Barack Obama's Facebook group supporting his candidacy.
But she left the group after an online magazine sent her an inquiry about it, and she didn't comment on the presidential race.
Rudy Giuliani lost to U.S. Sen. John McCain, who lost to Obama.
He has asked for privacy to deal with strained relationships in his family. His son, Andrew Giuliani, 23, has said their relationship became distant after his father's messy divorce from his mother and marriage to another woman.
(The Associated Press contributed to this report)