I recently got into it with Costco over the same issue here in Arizona. Not only do they prohibit legal firearms owners from having a firearm in their stores they were extremely obnoxious in their email* response to me when I asked for the reason.
I emailed Sams Club and was told that firearms owners with carry permits are welcome in their stores.
I will probably drop my Costco membership and change over to Sams as Costco clearly indicated I should take my business elsewhere if I didn't agree with their policy.
I would also like to see a list published of the stores or other businesses that have an anti-gun owner policy.
Jim
*I lost the email when I recently converted to Windows 7.
