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I have actually had that happen ( scanner going off walking out) I just politely stopped turned around and waited for the employee that came running after me. I was carrying (they did not know) and the manager did also respond a few seconds later and asked me to come with them. To which I told them that I would rather not and if they chose to not check my proof that I had paid for the items against the items in my bag and allow me to pass back through the scanner without the bag to validate that items on or about my person did not alarm they should call the authorities and I would wait at the customer service counter until they arrive if they wanted me searched for stolen items. He said that sounded reasonable so I handed him the bag after the alarm stopped and walked back through the scanners and into the store while he held the bag ( no alarm) he double checked the contents and apologized for the inconvenience and sent me on my way.

Granted the closest Wally World to me has a huge theft problem (high crime area in general and has been for years) and I've had several problems of this sort before.