That's messed up.

its your property and they have no right to tell you what to do with it.

i think I would ask to speak the the general manager or owner of the dealership.

i had a salesman try to keep the keys to my vehicle once. I test drove a vehicle and when I came back I told him I wasn't interested and he didn't want to give me my keys until we had a chance to discuss a deal. I told him, in no uncertain terms, that he had twenty seconds to get my keys before I drove his new car right into and through the showroom.

needless to say, I had my keys in hand in about ten seconds and I left.