To be serious, I would always have my gun in my car and on me when possible (getting my ccw in a few weeks). I however, will not get mad if I am told to take it back to my car. I don't own the place so I wont even try to question their preferences.
Having it nearer to me will raise the chance that I will have it on me if I need it... but truth be told... if I get in a situation where I have to use my gun and I have a chance to run I am running every time. That gun is for me to protect myself and my family. Not to play Rambo, or stay around to get shot by some ccw guy who is playing Rambo.