I am going to make it a point not to give this sort of place any of my
business. You probably
should too.
When you are told to check your bags at the door, you are being assumed a thief. You are presumed guilty until proven innocent. Not only that, but you are putting your own belongings at risk in order to satisfy their undue paranoia. This is wrong. Shoplifting prevention doesn't have to include something as invasive as requiring you to surrender your belongings before entering the store.
Today I visited a music store at a new mall that sprung up nearby. This is the kind of music store that sells the stuff to make music (instruments, mixers, amps, etc.), not the music itself. Anyway, I had a small bag with some sneakers I had just purchased at another store in it. A bag that can't even be easily used for shoplifting at all. Yet I was told to surrender it. After arguing and making a scene, I just walked out. I tried to get my point across to as many people as possible. I didn't look back to see if anyone else left as well, but I probably should have.
Don't patronize places that assume you're a thief before you even come in. There are plenty of stores out there that respect you as an individual.