In most jurisdictions you are not legally required to stop and show your receipt. The transaction has already taken place at that point. The items you bought are in your possession. That said, they could still call the cops on you, and the cops can ask you to stop on suspicion of a crime.

Side note: If you are at a Sams Club or Costco, then you have to use your membership to purchase items and part of the agreement you sign is that they can check receipts at the exit.