Sprouts fell nearly 10 percent, Supervalu lost more than 2 percent and Target fell 1 percent. Wal-Mart closed about three-fourths of a percent lower. Kroger trimmed losses to close 0.1 percent lower, while Costco recovered losses to close 0.07 percent higher.
The six stocks have erased nearly $12 billion from their combined market capitalization since Wednesday's close, the day before Amazon announced it would complete its deal to buy Whole Foods Market on Monday and cut prices on many products, including bananas, organic avocados and organic Fuji apples.
On Monday, the price of an organic avocado at a Whole Foods location on New York's Upper East Side was $1.99, down from $2.99, CNBC found. The price of organic Fuji apples fell to $1.99 a pound from $3.49 a pound at that store.
Amazon closed little changed, but down more than 1 percent from Wednesday's close. Sprouts has fallen nearly 17 percent since then.
Ben Bienvenu, a research analyst at Stephens, noted that Sprouts has more overlap than other retailers with Whole Foods' business and attributed the outsized decline in Sprouts' shares to "the price changes that we've seen in Whole Foods' stores" and "exposure to Texas and potential for some store closures associated with Hurricane Harvey."
He has an equal weight rating on Sprouts shares.
"I think perception also matters," Bienvenu said. "If Whole Foods can be successful at [changing] what the customer thinks is a fair price for an organic item, there are implications beyond store overlaps."
— CNBC's Lauren Thomas contributed to this report.