When asked for such information at checkout, including if I have a <xyz> preferred shopper card, I've found that a quick & polite "no, thank you" is effective.

It's clear to the sales clerk that I just want to be on my way--conveying that I do not wish to share such information, that I don't have a preferred shopper card, and, most importantly, that I don't want to hear their sales pitch.

If required to provide a phone number, I just increment the last digit by 1. I feel for whoever has that number :-).