They do, as well as have them in store particular in areas of small high value items where shoplifting risk is high (power tools and accessories).
Bunnings uses the standard one exit/entry approach that many other retailers also use (Myer, Harvey Norman, Good Guys, Kmart, Officeworks etc).
The ones which are different are supermarkets which siphon everyone through the checkouts (serviced or not) and Masters (when they existed) which had separate entry and exits.
Even if all the checkouts were at the entrance/exit at Bunnings, (unless everyone was siphoned through these checkouts and potentially subject to bag searches anyway like other retailers), there most likely would be someone at the door validating purchases made for items leaving the store.
The problem with siphoning everyone through the checkouts at a store like Bunnings is it is very disruptive when a person not buying something tries to squeeze through the checkout line, interrupting the current sale transaction so bags/what this person is carrying can be checked.
I would prefer the status quo rather than trying to ‘climb’ through a checkout line at Bunnings. I also expect that their safety and legal team would have concerns about customers pushing through potentially dangerous materials handled and trolleyed waiting in line.
We know what they were like with a very low risk/incident onion slip.