Our Spring Bank Holiday doesn't always coincide with the French equivalent, which (unlike in the UK) remains based upon the religious calendar and therefore always occurs the day after Whit Sunday.
However this year the two do match up, so you'll find most places closed. (If you go again next year you'll find everything open as normal in Calais on our Bank Holiday Monday, on May 30 (because their holiday will be on Whit Monday, which will be May 16 in 2016).
Auchan is definitely closed:
http://magasins.auchan.fr/magasins/calais/105/informations-pratiques/