They'd be really stupid not too. Most big city cops who've been around the block have lots of enemies. They've sent people to jail for years at a time. Many of these people directly blame the cops for destroying their lives and vow to get even. Lots of enemies.
Not carrying off duty is just flat out stupid from my perspective..Did it happen here? I dunno.
I worked at a Golf club that had off duty officers attending special entertainment weekends.......that we knew of none concealed carried within the building or they would not have been let in.