In the past, yeah, I would leave.
Nowadays, knowing that I usually book my shit in advance, so if I don't go in I would be losing money? Nah, I'm going in.
People will screw you sooner or later, so I'm not taking any chances. I've had this situation happen with me from both sides, when it happened with me it was because the bouncer didn't like my ID (older model, but still valid), so I told everyone to just go inside and that I would deal with it. I dealt by going somewhere else (need to say that I eventually went back to that other place another day and had zero problems with the same ID). When it happened with one of my friends it was because of the dress code, and they said to me to go in so I went.