I don't tell people, even the cops, unless it is necessary.
Heck, I don't like to take a knife out in public (it gets people jumpy). I needed a knife the other day to open a package for someone and suddenly it was, "Wow, don't piss off RevolverRob, he'll stab you."
I don't bother responding to those kinds of things, but just smile. If folks want to think I'm dangerous, because of what they can see...I'd hate to see their bug-eyed reactions to the things they can't see.