The guard is just overzealous; he must have you pegged for a potential shoplifter and decided to watch you. If they have a CCTV, he could've done a more efficient job by watching via there :)
And no, have not had such an experience though I have seen guards acting all mysterious to a lot of other shoppers before.
I will have to start dressing more like a pantomime villain then :O)
That would definitely add a twist to the mix :)