It should clear if you remove the NEGATIVE cable from the battery for a few seconds however, if tightening the cap corrected the problem, the light should turn off after 3 drive cycles. (A basic drive cycle involves starting the car cold, i.e. after sitting over night, driven normally until reaching operating temperature, then turning the engine off). You said the cap was loose. Did you have a trouble code P0455 or P0456?
Go back to AutoZone and have them erase the code and ask them to test your fuel cap. When you fill your tank make sure that the fuel cap clicks a minimum of 3 times as you tighten it. If the cap is good and you make sure the cap is tight, that should take care of it. If the code comes back, you may have a faulty vent valve on the evap system but that will usually throw an additional DTC.