"I exit the convenience store."
When talking about premises or enclosed area, the basic form to remember easily would be
X に if you are entering, going into, embarking X;
X を if you are exiting, leaving, departing X
While there are more advanced considerations and exceptions involved when composing complex sentences, it is always easier to start from the basic form and add the other parts you need in order to minimize mistakes
Ni is the target particle so if you were using it would mean you are exiting a place and entering to that, at least that's what i think
The rule of thumb I've come up with is that に specifies where you go. Entering a bank obviously means the bank is where you are going. Exiting however, is not. You dont automatically know where one ends up when exiting a building, thus に is not relevant.