I don't recall ever having this conversation, but I don't bring up guns around people who don't own guns. If someone genuinely asked, I suppose I'd explain that my safety and my family's safety is primarily my responsibility and that I have a moral duty to protect my family. If the question isn't genuine, I'd likely say that the one time I was a victim of street violence, the police didn't get there until well after the other three guys left and I'd prefer not to experience that outcome again. (I'd conveniently omit that I wasn't seriously injured.)