can they do this?

What is the name of your state (only U.S. law)? Minnesota

I work or should I say worked for a large chain store for 8 months. Durring this time I never called in sick, showed up late, and I always picked up extra shifts when needed.

In the last couple of months I was feeling like I was getting pushed out and they wanted me to quit so I talked to my boss and told her I was feeling pushed out. The situation was getting worse and I found another job. Two days after I turned in my two week notice I was pulled into the back and told me that they had video and written proof that I had been stealing money and told me that they were terminating me as of that moment and further action was going to be taken.

Now I know I never did anything of this nature and have no idea way they are saying this and when I asked to see the evidence they said they dont have to show me. I guess why I am writting is if they say they have proof of something I never did shouldnt I at least get to see what they are talking about or at least get some kind of pay until they figure it out and if they really did have evidence why did I not get arrested or anything other than terminated? If any one can help me out with this it would be greatly appreciated.

They can definitely fire you. Whether or not "further action" will be taken is up to the police/DA.

Either they didn't report it to the police or there apparently was not enough evidence to support a case. There is no requirement in your state to provide any "proof" or otherwise. The employer is not a court of law.