The problem is that if it becomes known that they are unarmed, someone may decide it would be fun to take potshots at them. So far, they don't seem to have done anything other than place calls.
So far that seems to be correct. It will only take one bad decision to use a gun by one of these guys to more than erase all of the good that could be done. Just ask the cops in Cincinnati how hard the press and the public can be -- and they are highly trained.
I don't believe Curtis Sliwa carried a gun while he did his thing, but I might be wrong on that.
Also, if there is general concern that these guys are likely to be shot at (while I seriesly doubt -- the Mexicans will just avoid them), then there is even less reason for them to be out there. Armed invasions by foreign nationals are not going to be repelled by citizen militias -- except in fourth-rate paperbacks or a new Rambo movie.