heh, I've always done it and never really thought much about it. I have to tell my dog, "I'll be right back, I gotta get your sisters some kitty food" or "I gotta run to the store, I'll be right back, Buff" or, God forbid, "I'll see you later, guys, mommy's gotta go to work."
I don't know if they can tell what the heck I'm saying, but my stopping to say SOMETHING to them seems to help better than just walking out without a word. Jake loves to howl his indignition at being left behind, and Molly will yowl along, but it's much worse if I leave without a word. I guess that while they can't understand what I'm saying, they figure I'm telling them that I KNOW I can't bring them with me. When I leave without a word, maybe they think they have to tell me that I forgot to bring them, so please come back and bring them with me, lol