Probably special unit LEO who just got done with training and needed to pick something up at the store. I have done it myself after instructing on the range. I carry with badge next to gun, but if he was doing PT or something and didn't want to risk damaging his badge he may have left it in his ride.
I believe I recall that you're a cop. Out of curiosity, if you were working in a state that didn't have open carry, would you have asked this guy to explain himself?
If it is against the law I would have a duty to ask, just as if I saw someone selling crack on the sidewalk. If I was off duty and he was doing no harm we are required, by our policies to be a good witness, and call a uniformed officer in to investigate. Even if off duty I might strike up a conversation and see if I can get a feel for whack job or off duty LEO. I'm not much for beating around the bush so I would just ask him, instead of following him around. I don't begrudge anyone carrying and would probably be along the lines of if he likes his gear and what "special unit" he works with. You can get a lot of info just striking up a conversation. Keeps things low key and off the defense.
