Yeah it sends a message to me that "I can't really be trusted" and TBH, I don't like that very much. I'm coming into a store to shop, not shoplift. I understand that I should not take it personally as they simply feel that they are protecting themselves but it's kind of like a "guilty until proven innocent" stance. If the store doesn't trust me enough to allow me to tote my own property, then it's a bit insulting actually.
That said, in actuality it's not a big enough deal in my life to argue over or change any of my habits though. If I'm asked to check my bag, it's annoying but if I truly need something from that particular store for whatever reason, I'll do so. I may chose a different store the next time.