What they mean is, "it's illegal for you US cowboys to bring firearms, mace, CS teargas canisters, switchblades, swords, etc. into our 'peaceful' Sha'aria country."
I know better than to get uppity with customs agents, especially the Canucky-French ones (they are in specially marked "Français" booths so people can avoid them).
Usually I say, "I expect the Mounties and the OPP to protect me."
Tell them you didn't think you needed to bring anything for protection, but if they'd like to recommend something, you'd take it into consideration. ;)
Say what they want to hear, do what you want to do - sounds like a reasonable approach to me.
I'd say more about the statist hatred of self-defense, but I'm a little too pooped to rant properly.