Gold prices near record highs have made the risk even more worthwhile.
Harmony said illegal miners had brought the bodies of 36 people to the surface at the weekend, but that it was too dangerous to send its own employees on underground searches.
It said another 294 illegal miners had been arrested in the province in the past two weeks and would be prosecuted.
"Illegal miners can stay underground for as long as three months at a time"
Harmony Gold Mining
That followed the arrest of 114 in March - including 19 Harmony employees.
Harmony, the third biggest gold producer in Africa, was built on a strategy of buying old, unwanted gold shafts and mines, exposing it to plundering by illegal miners.
"It is difficult to deal with illegal miners. We don't have the capacity to inspect disused mines and in any case illegal miners are always armed," Thabo Gazi, the head of mine safety at the department of mining, said.
Susan Shabangu, the minister of mining, expressed condolences for the deaths at the Harmony mine.
"The South African Government will not condone illicit mining, but these are human lives that have been lost," she said.
"Children have been orphaned and women have been widowed."
Tom Smith, who heads Harmony's operations in the southern part of the country, said illegal miners included South Africans and illegal immigrants from neighbouring Zimbabwe and Mozambique, belonging to organised syndicates.
Some were former miners employed by mining firms, and targeted remnants of gold-rich ore in disused mines, which they dig out with shovels and at times use explosives, he said.
"These are very well organised syndicates, the people who died at Eland are at the bottom of the chain. You can call them the foot soldiers who do the dirty job," Smith said.
"You can easily walk underground for over 35km in the Free State mines. Illegal miners can stay underground for as long as three months at a time," he said.
Even though Harmony provided security for closed shafts, some guards are bribed by the illegal miners, Smith said.
"They bribe security to get into the mines, and while in there can make arrangements to be supplied with food, for which they can pay a huge premium," he said.
South Africa is the world's third biggest gold producer.