In the strictest sense, "out-of-class" carry is an administrative violation based upon a rule imposed by the licensing authority (for example Suffolk County Police Department pistol licensing bureau). Assuming you were not busted for something else, if you were confronted by a police officer he or she would have no grounds to detain you other then asking for your pistol license (which you better have, because that is the law). For the out-of-class carry situation the officer has no grounds to do anything to you because you have not violated the law. You only violated an administrative rule which is completely out of their realm. They are sworn law enforcement officers and not administrative agents of any licensing authority whatsoever.
If they are that adamant and belligerent about it then their only legitimate recourse is to contact the licensing authority and report you. If they feel that ratting you out is that important to them, I would imagine that they are pretty much at the bottom of the pickle barrel as far as being a police officer is concerned. The bad part of the whole thing is once you are reported, you are administratively guilty until proven innocent. A simple informal or maybe even anonymous phone call will get your license suspended or revoked, and your guns will be confiscated. You will need a lawyer to try to turn things around.
While concealed means concealed, actually using your weapon for a legitimate reason is a "break glass" situation. You use it, and it's likely the last you will see of your guns.
In a nutshell, this level of intimidation is what keeps the "control" in gun control.