You can "choose" to leave the checkpoint. TSA can "choose" to keep all of your personal belongings that you've already submitted for screening, while they conduct a much more "thorough" search --- and claim that, by "choosing" to leave the checkpoint, you've "voluntarily surrendered" those items. TSA can "choose" to call the on-site LEOs and suggest that you be detained on suspicion of carrying WEIs inside an airport, which in many jurisdictions is a criminal offense.
Every "choice" has consequences.