Nassau County police say security guards at a Wal-Mart in Valley Stream watched the teenager slip portable hard drives and CDs into his pockets before trying to walk out of the store on Friday night.
Police say he pulled out a knife and threatened to stab the guards when they tried to stop him in the store's vestibule.
Police say the 16-year-old later returned to the store and was arrested. They did not find the merchandise or the knife.
Calls to the teenager's home were not answered and his lawyer's name was not immediately available.
An employee was killed at the same Wal-Mart store in 2008 when post-Thanksgiving shoppers trampled him to death.