(Disclaimer: not a lawyer) Walmart might tell you not to leave, but legally speaking they probably don’t have grounds to stop you from leaving, and it may in fact be illegal for them to try.

Some states have https://en.wikipedia.org/wiki/Shopkeeper's_privilege

But that still requires cause to believe you stole something, and as far as I understand it, declining to be searched on its own doesn’t provide cause for that.

Costco has a membership agreement where you consent to being searched, Walmart does not.

I have a friend who used to load up shopping carts with cases of beer and then slowly roll out of Walmart back when he was underage. They're not legally allowed to stop him and corporate policy is to avoid chasing down thefts. Do with this information what you will.

when they ask - you say "no, thank you".

They get away with it by training the vast majority to consent for no particular reason.

That's always my technique at stores that try that (aside from CostCo). The nice part is that they really aren't used to people saying that (especially if you say it very pleasantly, as if they had offered you something) and will often stare at you with a "deer in the headlights" look.

The worst that's ever happened was that I once had a Best Buy guard yell at me and start trying to chase me out into the parking lot, but I just ignored him and he eventually gave up and went back. Flaunting fake authority like that makes me very happy for some reason.

Where I shop (Redwood City and Mountain View) the receipt check lines are long and clog the exit. There's no way to bypass them unless you don't have a cart.