The correct answer is, "I don't have a gun. Nobody saw my gun. You can't prove anything."
When the government asks me to incriminate myself I always take the “immaculate conception” defense.
My father didn't have sex with my mother.
As a baby I never defecated in my diapers.
As a child I never picked my nose and ate it.
I have never even SEEN a policeman.
I don't even know what illegal drugs are.
I have never even bent, let alone broken, the law.
I do not now own and have never owned a firearm. The only time I ever learned to shoot or held a firearm was when I was in the U.S. military, where I mysteriously shot amazingly well for a novice.
I am not now on, never have been on, or ever will be on any anti depressants, anti psychotics, or any pharmaceutical medication other than antibiotics.
Etc, etc.