Just to be extra clear, no matter the reason (with exception to discrimination based on legally protected classes), if anyone that works for the store/location asks you to leave, you are legally required to leave. It's not just good practice to leave when asked, it's the law. It can be security, a cashier, a stock room worker, the manager, the property owner, the janitor, or the person collecting the carts in the parking lot. All of them, legally speaking, have the authority to tell you to leave.
Once you have left the property, if you feel you have been unduly discriminated against, the best course of action is to either return to the location on another day (provided you haven't been barred from the location), or call or email the manager to ask them about it. Some corporations do not give all of their employees the right to refuse service (walmart specifically comes to mind), but that is a corporate policy and not the law. While that employee may be reprimanded by their boss, the police will still side with them, especially if the manager also agrees with their employee.
Basic Gun Safety by Jeff Cooper:
1) All guns are always loaded
2) Never let the muzzle cover anything you aren't willing to destroy
3) Keep your finger off the trigger until your sights are on the target
4) Be sure of your target and what is beyond it