If by some odd chance they didn't get one of their anit-theft tags de-activated at the register and it set off the alarms on the way out I would just continue on my merry way. The receipt in my hand says that what I have in my shopping bag is my property and, unless they have a police officer there with a properly obtained search warrant, they have no business looking through my personal property.
DIN! DING! DING! We have a winner...that was the answer I was looking for.
Thing is, my brother-in-law used to work for Wal Mart in Loss Prevention. One day, a gentleman decided that he didn't want to pay for a $100 tool box, so he tried to steal it. When my brother-in-law and his partner confronted him about it, he threw the tool box and struck one of them in the head. Needless to say, they both proceeded to beat down this unfortunate soul.
When it was all said and done, my brother-in-law and his partner are out of a job, and...get this...the Manager tried to get them to sign documents stating that Wall Mart was not responsible for the shoplifters injuries (after he just fired them!). He signed in very big letters 'F U' and walked out.
Now I know that they can't detain you without the risk of being fired, I would simply ignore the demands.
Please consult with an attorney before following that course of action, you'll save yourself a whole lot of trouble.