His bodyguard was probably with him for a different event, and they dropped into the store for a moment. Many times, bodyguards hang out with clients on a personal basis.
But like I said, it depends on the circumstance. I remember a hidden camera gag with Dirk Nowitski where an actor pretended to be a huge fan and asked for his autograph in a restaurant. His response was basically, "Not now, I'm eating dinner," and the actor proceeds to freak out as scripted. I know the OP wasn't asking for anything, but it just illustrates that there are boundaries for the smallest things.