I disagree with Zorin. Usually when a store asks you to check your bag at the door, they are not doing it to offend you. Certainly, it implies that you may be a thief, but then again, you may well be.
The guy at the cash can't tell by the way you look if you're going to shoplift. He can't decide on first glance who is an upstanding citizen, nor who is a criminal. If his store has very expensive items that are easily pocketable, such as a music store might, his only hope of keeping shoplifting down is to stop everyone at the door and confiscate their bags. If he doesn't, shoplifters will dig into his profits and then he will be forced to raise the price of merchandise.
There are two places that I know of in Calgary (where I live) that require bags to be checked. The first is a used record/CD store, the second is the University's used bookstore. Both these places would be targeted by shoplifters as their wares are not traceable. When I am asked to check my bag when entering one of these stores, I feel no anger. After all, I know I am not a criminal. I accept that the cashiers are just trying to keep prices down for everyone, instead of only those who take the initiative to break the law.