It all depends on context. I've had an interview where someone raised his voice nearly to the point of shouting, while leveling criticisms at me. You'll have to take my word for it that I did nothing to provoke this; it was clear to me at the time that I was dealing with an angry person who enjoyed his perceived sense of power over me. I didn't walk out, but god knows I declined further interviews with that company.

So if it was like that, then sure, walk out. If hypercriticism seems to be part of the culture, you owe it to yourself to cut it short. What's the reason for staying? You wouldn't want to do business with that kind of company, period. I think @patio11 and others are imagining a much more civil exchange, but the story struck me as describing a toxic environment.

TL;DR Don't stick around toxic environments.