Yeah, it says online only. And if you don't like it, you leave. If they're willing to lose a customer over it, so be it. It's their loss.
However, why not just PM their online price like most other stores that maintain both an online and B&M presence? They won't lose a customer, which is more important, by far, that making that $4-5 extra on that sale. Most people don't even know there's a difference in price, so it won't affect the profit from those buyers. It's the same as PM'ing another store. Most customers don't do it, but the ones who bring in an ad, if you give them the match, they'll stay a loyal customer, and it's only a handful that really call you on the policy, so you're not losing out much, and you gain loyal repeat customers.
Personally, I've walked out on buying a few games because of this policy, then ordered it online later. It's not that big a deal to me. I realize I'm a repeat customer and just contradicted my earlier statements but... oh well.
Funny how they'll PM another store that has it for less than their online price, though (at the few GS that still do PMs).