Just like (Condoleeza Rice remark) nobody in the government thought hijackers would use airplanes as guided suicide kamikaze missiles. Yeah, right. Bojinka.
I suspect there were people in government who saw airplane attacks and gay bar attacks coming, but government's a big thing with many levels, and what somebody somewhere in the middle expects will happen doesn't reach all the way to the top or the bottom of the ladder.
They did have armed police security at the club, so the local PD did consider that violence was a possibility. They just didn't guess that they'd be the one city out of hundreds or thousands where a major attack would come.
Maybe the cop was one of those people who believed that somehow there was an alliance between the pro-gay left and anti-gay jihadis. Heaven knows, there are enough troubled people who think that way on the Internet.