"Yes officer, no officer, always works. If you did not pay for the goods you are a thief. If you did, say so and offer to show proof."
I had a situation last year where my wife and I bought our groceries for the week and after putting them in the car, decided to go to another store, rather than right home. Because of this decision, I told her that I was going to go back into the store and use the men's room.
The facilities in this particular store was next to the pharmacy, and apparently at the same time I returned, an incident occurred (bogus prescription, attempted theft of narcotics -- I never found out). Anyway, in the time it took me to exit the store and return to my car, I was greeted by our local finest.
I was ordered to move to the back of my car, and told to stay there, that there was a problem at the Rx and the suspect matched my description.
I offered to show the officer my receipt (in the trunk of the car) and moved to open the trunk. This caused the cop to reach for his holster, and I immediately stopped, and told him that I merely wanted to offer proof of why I was there.
Long story short -- I was held there while this cop's partner and the store management reviewed the security tapes, clearing me. But after all was said and done, I got no 'sorry for the inconvenience', 'thanks for your cooperation', 'kiss my @$$', 'don't let it happen again', nothing. Of course we won't let it happen again -- we won't shop there again.