I happen to work at a Barnes & Noble at the moment, and maybe I can shed a little light on this. My store happens to be one of the company's "high-shrink" stores, which means that we lose about five hundred thousand dollars worth of books a year. Some of that is due to inventory errors, I'm sure, but I also know that a major chunk of it is walking out the door.
I've had people come in asking for the Player's Handbook, and man, would I love to sell it to them, but I can't because all of the four copies we're supposed to have are gone. We lose at least two gaming books a week, and for me, the worst part of it is knowing that there are people who might actually want to buy this stuff (or even just hang out and read it, I'm fine with that) but they can't because somebody stole it. The whole thing is particularly gruesome to me because I love gaming and I'd like to be able to allow new gamers to have access to these books.
My guess is that the store you're talking about has a gamer working there. A gamer who's tired of being unable to give people the books they want, and who has resorted to drastic measures to help control things. They're not trying to take the books away from you, and I'm sure they'd be happy to let you look through them whenever you want. They're just trying to make sure the books are actually there when you want them.
As an interesting side note, almost any bookstore in the world will tell you that their most heavily shoplifted section is the religious area, specifically bibles. I can't believe that so many people would steal a book that specifically tells them not to.