Open Question: my dog goes crazy when i leave!?

i have a 6month old jack russle i put him in the laundry which has a doggie door and when i leave he races to the back and watches me go but he whines and yelps nd carries on.i dont know how long he goes on 4 but i can still hear him down the street.he is calm when i get home though..i dont think its separation anxiety i just think he wants to come(but he cant coz i am going to the shops) does any1 have any ideas how 2 stop him yelping when i go?