I offer to gladly let them search my bag upon entering and leaving if they bring it up, but I point out that I'm extremely uncomfortable with leaving my bag with anyone, as it's my equivalent of a purse. I don't whisper this, either. (but don't scream.) Sometimes I point out that I'm bringing my own shopping bags, depending on the store I'm going into. Sometimes I just tell them it's my purse.
Being very agreeable and sympathetic without giving ground gets me pretty far.