This actually happened to me about 6 years ago.
I was at a Target. My wife and 10 year old daughter were in the girls' clothing department. I was just walking into the store when some guy comes rushing into the store repeating in a loud but not shouting voice, "Some guy in the parking lot has a gun! Call the police." He runs over to the customer service and tells them. They seem unconcerned. Then again, it was a bunch of 18 year old girls behind the counter.
What would you do at that point?