illegal shopping

I went shopping in CVS after I got something from Dollar tree. I picked up several items which I could not hold them in my hands so I put two of them into that Dollar tree bag. I paid all of them. When I passed the door, the worker in CVS told me that it is illegal to put their products into my own bags AND I will not be allowed into CVS any more. I thought there might be some wrong with my doing. But how could they stopping me from entering their shop? will they call police if I want to go shopping there? Is it legal for them to do so? where can I appeal to? will it affect my cerdit? Thanks a lot.
Famang