Security Check at Sam's Club???

Last night Brian and I went into Sam's Club to grab a few things. As we entered, the man that you show your membership card to, stopped me an asked me to show him my bag. I have no idea why he needed to see it, it's just a regular messenger bag that I sometimes use as my purse. I kinda felt like I was at the airport. Brian and I felt very awkward, and embarrassed by this, especially since we had some people waiting behind us, and we didn't see anyone else being stopped. Did the guy think I was going to try and bomb the place??? I must look pretty suspicious being six months pregnant. I hope this doesn't become a regular occurance.