By coming clean, you have an opportunity to a) stop a thief from stealing the company's money and b) alert them to some serious security problems in their computer system, both of which could benefit them. Under the circumstances, they might be inclined to forgive the lesser transgression.
Besides, if you know this person's stealing and you don't report it, that could be interpreted (validly or not, I don't know, but it could be) as being an accessory, which would be an even worse position to be in if you were found out. Trying to hide one's mistakes often leads to worse consequences.
As a rule, Bart Simpson isn't a good role model. I think even he fessed up at the end.