Take your pick where you spend your money
I do not carry into places where it is illegal but, if I can, I avoid those places.
I do not shop at Costco. When I read that they contributed to the Kerry campaign I marked them off my list of places to go. Sam's, on the other hand, contributed to the Bush campaign. If at all possible, I will spend my money with someone with whom I agree.
I don't carry a gun because I expect to be attacked - I carry it for the same reason I carry insurance, have a fire extinguisher and keep my spare tire in my car inflated. If a business wants me to go without any of these I will not spend my money with that business.
What you do is up to you.
Charlotte, NC (where there are several Costcos)