They do, they always do. They got their power from there. P5 just isn't working like older P. Specifically, the thieves work on Metaverse which is created by the collective cognition and it is specifically a mental scape. It's not that the whole mechanic of P doesn't exist in P5, its more like P5 specifically doesn't follows it the way older P do. Older P is more "real". P1~P3 use their Persona and we see their Persona directly affect real world, and interract with real world. In P4, they are send to another dimension, and as far as TV world is concerned those are real things, and real physical human are directly involved. In P5, only the Thieves are physically involved, all things related to Metaverse, even the physical death are not physically interracted. They are mostly mental. The death from P5 are from killing the cognitive of one self, the removal of one's mental existence of one self. Their persona specifically doesn't interract with real world. They are imagination...