I wasn't suggesting you had done anything wrong... I was just wondering where the heck they came up with the threat of calling the cops.

Personally I would just find another store, or better yet... if it's a chain, find the info for their corporate office and write a polite email/letter (or call) and tell them how you've been going to the store for 3 years, and you certainly understand why they might need to take action to prevent thefts, but be sure to bring up the "you don't count" comment and the threat of calling the police (be sure to come across as a fine upstanding citizen shocked at your mistreatment). And express your concern about leaving your bag with your valuables in it without reassurance that it will be kept securely.

Local schmucks can do what they want, corporate offices tend to react a little differently.