I just did some research off the back of this, and surprisingly it's not a legal requirement to provide a receipt for any sale (at least in the UK), just a recommended practice for businesses.
It's not a convenience question. Either they throw it away for you, or they put it in the bag and you throw it out yourself. Maybe even with the bag.
Then I realized, it could only be because they hope for you to agree to making the item no longer returnable. No receipt, no return. So you (potentially) only shoot yourself in the foot by saying no.