It's a bar, not a wine store.

IME when you order, they open the bottle at the bar and serve it to you. Some of the better clubs/staff will actually ask where you're sitting and bring it in a bucket with some glasses. It's a nice treat when headed off on vacation with a few friends or something.

I doubt anyone would put great effort into stopping you if you just grab the bottle and walk out the front door, but then you're in the concourse with an open bottle of bubbles. I suppose I've seen worse at some airports.