Hey Rach912,
The reason why your phone is setting off the security alarms at these random shops is because the phone you are using has a silicon based chip which the alarms are programmed to recognise as one of their secure items. (The grey tags on pricier items)
A number of things can set off these alarms, I've had my travelcard set them off!!
The only other thing that I can think of would be your phone charging EMI (Electo Magnetic Interface) to the point where your phone is emitting enough to set the alarms off.
See if your local phone shop have any tips or get a new one!!