I believe in a regular store you can just roll by the security without letting them check your stuff. They can make a citizens arrest or call the cops if they think you stole something, but at great risk of a lawsuit if they are wrong. However, Costco is a private club. You agree to their terms and conditions as a member of that club, and you must abide by the receipt check or they can ask you to leave. That was my understanding of the situation a decade ago, things may have changed.