GPS requires power to run. Are they going to require that I keep my gun recharged? Even if the electronics weren't easily removed or destroyed (ha!), all a gun thief would have to do is stick the gun in a metal box for a week or so to wait for the battery to die and no GPS.
The reason why something like Lojack works on a car is that it is difficult to remove and the car must be powered to operate. Not so with a gun.