Each case of theft is different; some cases may lead to a violent situation and can put you in more danger. If you find yourself in a violent situation, it is important that you try and seek help (calling 911 or getting the attention of a someone near by).
If the theif has a weapon, it is better to hand over your belongings rather than risk your life. Even if you are trained in self-defense, it is safer to give the person your wallet or whatever they happen to be asking for than risking bodily harm. In most cases, the thief will leave you alone once they get what they want.