Ozzy does the same thing. As soon as I put him in his pen and he sees me put on my shoes he startes barking and jumping up the pen. I just ignore him or tell him no bark and quickly leave. I don't look at him or anything. I try to be really calm. Monday he actually just laid on his bed and didn't bark so I was so happy thinking we turned a corner but today he barked again. He's almost 6 months now but I think he is learning it's ok when I leave. It just takes time