Sounds like someone has an independant little soul on their hands! My daughter (nearly 17 months) is exactll the same. I never understood the use of those awful "leashes" I have seen mothers use on their toddlers in shopping centres until now! All I can say is accept that it is his way of exploring the world (however annoying to the desperate mother trying to complete her shopping expedition!) and that you are blessed with a little man who is very self assured and confident (at 14 months that is a true achievement).
I have found that if I take a little extra time with the shopping (not always easy I know!) I can let her have a little run around, stretch her legs and then put her back in the pram for a while. I also found when she was just learning to walk (around 13 months) she would often hold on the back of the pram and 'push' like it was one of her toys at home. Slow and entirely frustrating for me but hey, what part of motherhood isn't!!
Mum, 15month boy, 3yr girl