I'm sorry to hear this happened, especially with your Sam's Club MasterCard... I say 'especially' since that's the card I use the most, and almost every swipe is outside my billing address state.
So far, they've never given me any trouble, and I almost always have a single $900+ charge for a hotel (out of state) most months that I put on the Sam's Club card, and it always has gone right through with no issues. I admit those first few months I held my breath, but now I think of it as being as reliable as my Capital One cards. It could be that I've just been lucky, though.
With many of my charges being out of state (and over 100 miles from my billing address) the only time I've had a security issue was with USAA when the account was brand new, and I was making large purchases at the middle of the night, which is understandable. It's a bit ironic that I'm always holding my breath for the exact same scenario that you describe, yet it's never happened; on the other hand you didn't expect it, and got flagged. 
Again, I'm sorry this happened, but perhaps now that they 'ripped off the bandaid' and checked you out you'll be clear to charge wherever and whenever with no further issues. 
@kdm31091 wrote:
There's no way to really avoid the situation other than just using a different card. It's embarrassing to have a card declined sure but take heart that it's very unlikely any cashier gives it a second thought or cares
There's no need to be embarassed. 
Retail workers see a LOT of freaking people a day. They forget about most people as soon as they leave. And really, who cares if they judge you for a minute, you're probably not going to see them again anyway, and even if you did, they probably don't remember you. I had a customer give me a very enthusiastic thank you for my help on something once, and I really honestly felt like I had never seen that woman in my life. That actually happens a lot - not recognizing people. Just last month I remember a lady handing me no less than five different cards and asking me to split the payment over each them because none of them had enough credit them for the $20 purchase. I wouldn't be able to pick her out of lineup for nothing. I don't even remember what color hair she has. It was very sad though. However, in your case, I usually tell people not to worry about it. It happens to all of us. Sometimes for no reason.
I actually think it's good they shut the card down on suspected fraud. Yes, it's frustrating and seems unwarranted, but they were looking out for you. You had other cards with you, so it's okay. Things like this make me wonder if I should always carry two cards around with me though. I quite often leave the house with only one card on me.
Just pull out your Amex plat after that happens and any woes of awkwardness shall pass.
@Anonymous wrote:This is what people don't understand about us people with several cards from different banks. If we just got through eating and the bill is $75 and we have no cash on us, one of our 10 cards is gonna get approved. I live in a tourist area and credit cards get declined alot because people are on vacation. I wear a knock off Breitling watch and have an American Express Centurion replica. Just think if my Chase Freedom card got declined at Olive Garden after me flashing those two things.
^^^LOL, pretty much this. I had a bunch of cards not like the area of Renton I was in (who knew), just pulled out Freedom. Called them all later, discover was the toughest (you bought something in Kent, well yes I did, but, you bought something in Kent, sigh).