* NOTE * I do not practice law in the State of Arizona, and this is my personal opinion.
Firstly, if you're doing so in compliance with state law then you're obligated to follow said law. I am unaware of which business sectors fall under that rule, so I am not going to address that.
Second, presuming you take my card and refuse to return it. Let me outline something for you:
Per ARS 13-201 The minimum requirement for criminal liability is the performance by a person of conduct which includes a voluntary act or the omission to perform a duty imposed by law which the person is physically capable of performing.
Per ARS 13-204 Effect of ignorance or mistake upon criminal liability
A. Ignorance or a mistaken belief as to a matter of fact does not relieve a person of criminal liability unless:
1. It negates the culpable mental state required for commission of the offense; or
2. It supports a defense of justification as defined in chapter 4 of this title.
B. Ignorance or mistake as to a matter of law does not relieve a person of criminal responsibility.
and ARS 13-402
Justification; execution of public duty
A. Unless inconsistent with the other sections of this chapter defining justifiable use of physical force or deadly physical force or with some other superseding provision of law, conduct which would otherwise constitute an offense is justifiable when it is required or authorized by law.
B. The justification afforded by subsection A also applies if:
1. A reasonable person would believe such conduct is required or authorized by the judgment or direction of a competent court or tribunal or in the lawful execution of legal process, notwithstanding lack of jurisdiction of the court or defect in the legal process; or
2. A reasonable person would believe such conduct is required or authorized to assist a peace officer in the performance of such officer's duties, notwithstanding that the officer exceeded the officer's legal authority.
Now since you stated you are sending the card back to the merchant, you have no claim to justification. It requires that you are assisting a peace officer, and you are not doing so. You're attempting to "assist" the merchant. You would need to contact law enforcement for the suspected unlawful use of said card, which you admittedly did state you MAY depending on circumstances. But if you wish for immunity of prosecution then the law requires it.
Per ARS 13-1802 (Theft) Format Document
I have you under:
A(1) Control property with intent to deprive.
ARS 13-2102 (Theft of credit card) Format Document
Possibly even ARS 13-1902 (Robbery) Format Document
depending on how things played out.
If for some crazed reason the state then refused to follow up on the criminal charges, I would move to act Qui Tam on their behalf and prosecute you privately.