Yeah my DH feels the same as you. Put treats in your pockets for when you come home
Personally I think it's because when they are puppies the ladies never put them down
They baby them and the pups love it.
Oh and don't listen to the Petsmart person, they might not even own a dog no less one as complicated as a Yorkie LOL
Just enjoy the snuggles you get and don't worry he'll come around.