Also, as MLeake pointed out, a business that is open to the public does not enjoy the same latitude as a person's home or even businesses that are not open to the public such as private clubs. Businesses that are open to the public bear a certain degree of responsibility to provide a reasonably safe environment for the people that they are inviting onto their premises. This is why businesses have to abide by regulations such as fire codes and why they can be found liable for injury or death of their customers if it can be proven that said injury was a result of the business failing to provide a reasonably safe environment for its customers.
They have a responsibility to abide by the letter of the law. Any other responsibilities you think they should have are your own personal ethics. Anything they do beyond the letter of law is what they may consider to be their responsibility and part of their ethics, which may have nothing to do with your ethics.
Businesses do not have to protect you from robbers and bad guys. The police don't have to protect you either. You can go elsewhere or you can secretly thumb your nose at the anti-gun business and if legal, carry inside, supporting the business while making your secret protest.