I am pretty sure every Saturn has a bag check-in area by the entrance, it is pretty standard for them. Considering that the Saturn in Hamburg is either the biggest Saturn of them all or close to it, I am pretty sure they also have that feature there. I have been to it in the past but I can't personally remember if they do. But since every other Saturn that I've been to had them, chances are this one does too. In fact, they have these areas there for a specific reason:
If you read any of the information by the entrance, you will notice that it is written there that by entering the store, you give permission to have your belonging searched. If you don't want something searched, leave it in a locker by the entrance. Everything else is fair game.
(in actuality, they still don't have the right to strip-search you if you refuse and ask for the cops to be called, but you also can't sue them for trying to strip-search you).
What you should have done is left the bag in the locker and only taken the ipod and the headphone with you. Before actually entering the store (before passing the magnetic entrance), you should have approached a security officer and told him that you intend to enter the store with your cans and your ipod in order to compare them with the headphones they have on offer. The security guy would then inspect your cans and ipod and most likely attach some sort of sticker to them noting that they have been inspected. If you did all of this, you'd have avoided all of that trouble.
Hopefully your story will teach other people reading this how to audition cans in a Saturn
EDIT: Also, the information about putting belongings in a locker must have also been available in English, since that is an EU law. So really, the OP basically missed that bit of information and it led to the problem.