Y'know, this gives me an idea of an excellent prank to pull on my older brother.
Anyway, I've never had this happen to me, but I wear shorts year round, so there aren't any folds or such in them for a security tag to hide in, however when my brother and I were leaving Home Depot with the compound miter saw we got my Dad the security system did go off, but that was because the register/barcode scanner screwed up.