The fact that the neutralino (the common SUSY DM candidate) can be created in a high-energy collisions means that it interacts with other particles. Specifically, it must interact with the protons in the incoming beams, at least indirectly.
However, just because it has interactions, it doesn't mean that it isn't stable. By stable, we mean that it has a very long (possibly infinite) life-time so that it won't spontaneously decay. We don't mean that it's completely inert.
The stability of the neutralino in SUSY is guaranteed by two facts:
- A quantity called $R$-parity is (assumed to be) conserved. The neutralino and other SUSY particles have $R$-parity, other particles don't.
- The neutralino is the lightest supersymmetric particle (LSP).
Together these facts forbid the neutralino ($\chi$) from decaying as,
$$
\begin{align}
\chi &\to \text{SUSY} + \cdots &\text{Forbidden by conservation of energy: $\chi$ is LSP}\\
\chi &\to \text{ordinary particles} &\text{Forbidden by $R$-parity: LHS has $R$-parity, RHS does not}
\end{align}
$$
Thus all decays are prevented.