If I recall correctly Costco, being a private shopping "club" which you have to be a member of to shop at, has a no gun policy as part of their rules of membership. Since it is in effect a private club, you have to abide by thier rules or risk losing your membership.
Here is an e-mail from Costco from a previous post:
Dear Ken,
Thank you for your email to Costco Wholesale.
In reference to your inquiry on our policy disallowing the carrying of firearms in our warehouse stores.
Costco does not believe that it is necessary for firearms to be brought into its warehouse stores, except in the case of authorized law enforcement officers. For the protection of all our members and employees, we feel this is a reasonable and prudent precaution to ensure a pleasant shopping experience and safe workplace. Our policy is meant to protect our members and employees in all warehouses around the world. This is not a new policy and we do not customize the policy for each individual city/county/state/country where we do business.
Bringing a firearm into our warehouse does not enhance the shopping experience. We are sorry the message you are hearing is that we don't want you. It is the firearms that we exclude in the warehouses, not the carriers.
Thank you,
Susan
Costco Wholesale Corporation
memberservice@costco.com