Misha used to do this,(still does a bit), however I try and pretend that I'm going to leave without her, she soon comes round. Roly on the other hand really does seem as if he doesn't want to go out, and will head to the other end of the kitchen, or go and sit in his crate. With him as well I have to pretend that Misha & I will leave with out him. He's fine once he gets out the door.