I find this intrusive. They don't ask if I would like to be added to their mailing list. The question always seems to be presented as if having your address is a pre-requisite to buying something at the store. I always have to refuse. I'm sure there must be other people who refuse to shop at the store because they find this kind of questioning intrusive.
Many shoppers are fiercely protective when it comes to giving retailers their personal information.
I'm sure retailers like WalMart would love to be able to capture that information. However, they don't ask because to do so would be intrusive and deter people from coming into the store. Perhaps they believe Internet shoppers lack the same concern over intrusive questioning as the offline population. Typically, people don't want to part with personal information unless they can get something of perceived value in return. Offline retailers have started to recognize this fact.