Store workers said the woman had purchased a costume but fled with additional items without paying for them.
"She was very squirmy," Zilio, who performs under the name Peter Parkour, told CTV Toronto.
Zilio said he has no plans to quit costumed performing in favor of the super hero business.
"I never want to become involved in these things. I don't want to lose my busking license," he said. "I'm not trained to handle someone while they're hostile or needing to be held down."
Spidey earned some praise from store manager Sanjoy Kandu
"It's a great thing," Kandu said. "Peter Parkour helping out a security guard at that moment? It was great."
Zilio was humble about his brief flirtation with the hero life.
"Typical day in the life of Spider-Man," Zilio joked. "With great power comes great responsibility."