You could get shot in the back, it's definitely an option to run. Might die tired, might not.
Or, if I stay / comply, I could get shot in the face.
This answer was serious. No way I'm complying. My rule is never ever comply with an order to go to a place that is out of sight.
I'm running. I'll take my chances as a moving target AND knowing that their focus is what's inside the gun shop... not me. Me running is a distraction to their mission. Furthermore, shooting me running down the road in plain sight would actually be self-defeating to their mission, because it would "out" them in plain sight to plenty of witnesses. It would interfere with their plan.
That's why they want you to go back inside. And that's why I wouldn't. I'm GONE. The gun shop staff can fend for themselves without me.