Toddlers are runners. Need advice.

My son is 3.5 and has always thought it's hilarious to bolt away from us. It's every single day and every single place- our yard, daycare parking lot, daycare hallway, the zoo, the park. We can never trust him. My daughter is two and now does the same because she sees how much fun he has being chased.

We are not permissive parents. We hold boundaries with many things- screen time, bed time, brushing teeth, splashing in tub.

We just can't seem how to figure out this issue. We've yelled, we've tried scaring him. I'm at a loss and exhausted and embarrassed. Any ideas on how we get past this?