That is EXACTLY WHAT IT SAYS in conjunction with the whole sentence.
Something is "necessary to the security of a free state".
What is that something?
That something is "a well-regulated militia".
What is a militia?
The militia is "civilians primarily, soldiers on occasion".
How is a militia "well-regulated"?
Among other things, it is "well armed".
How can we most easily and thoroughly achieve a "well-regulated militia", which is no less than a "well armed citizenry"?
We can efficiently achieve a well armed citizenry by protecting "the right of the people to keep and bear arms".
Who are "the people"?
The people are the aggregate of individual citizens.
Who is to "keep ... arms"?
Individual citizens keep arms - their own, at their own cost, under their own control.
Who is to "bear arms"?
Individual citizens bear arms - under the organization of Congress when called up, under their own responsible discretion when not.
Ergo, the preamble (in conjunction with that which it is a preamble to) states that the right is protected because (along with the fact that it is a natural right) a well armed citizenry is necessary to the security of a free state.
The Founders discussed this in the debates and concluded that a well regulated militia was better for the security of a free state than a well armed citizenry.