If you're going to steal, you might as well go for a big payout. Getting the cops called on you for a stick of gum sucks because it's a huge waste of everyone's time. Even if you do get away with it, all you have is a stick of gum. What good does that do you? Now if you steal a guitar and get caught, at least the whole thing might have been worth it. Everyone will cheer you for your boldness.
The hard part about trying to steal a guitar is that guitars are really big. This guy chose pretty much the only way to do it, but I wonder how long it took. The security probably patiently watched as he struggled to shove it down his pants. Or maybe he kept accidentally playing chords and that's what got him caught.