While it could be a sting, it could also be an attempted theft.
"give me the money & I'll buy it & meet you over in the food court in 15 minutes".
Guy takes your money and leaves by another exit. Good luck calling the police and saying you were trying to make an illegal gun purchase and the person ran off with your money. The only thing that will net is a possible court date and an appearance on Americas Dumbest Criminals. Something like this was actually reported on News of The Weird. Someone bought some cocaine they found inferior and took it into a police station to complain they were ripped off and gave the LEO the sub par cocaine.
In short you were right not to take his offer.