I also carry sterile (no ID or CPL) so I tell them I would be breaking the law if I covered up my weapon. Kmart has never approached me about my carry again after that time.
Many times if you know the store policy you can simply state you are in line with store policy and your method of carry deters criminal behavior while you are shopping at their establishment.
There are many different ways the main thing is to remain open minded and try to read the situation to handle it the most diplomatic way possible. I find that most the time the situations are easily resolved and once they get a sense of you as a 'good guy' they don't mind.