Take the receipt!

I always like to bring some snacks on train so I will not be hungry. My favorite kinds are those butter-enriched biscuits (filling and tasty). I found some in a small bakery near Turin train station. I also saw thin bread that had a weird shape. I am not sure what it suppose look like? A person?
To my surprise, after my purchase, the vendor insists that I take the receipt with me. She told me without the receipt police can give me trouble. This was the first time hearing about it! They say it is the way to make sure stores pay tax. But why do I have to carry it outside the store? I normally hate to carry unless extra papers in the purse. Later a friend told me that even after one coffee, I should take the receipt as well.