Who goes to a concert with a gun on his hip? Was he expecting to get beat up by a mandolin player?
Usually they're the ones who play to no audience. The better mandolin players sometimes end up before large and diverse audiences, and some of the audience members might be mean.
Also, this may come as a shock, but we're at war with an enemy who likes to kill harmless civilians in harmless places. In such a case, I prefer being armed. Might be useless, but as they say, better to have it and not need it than to need it and not have it.