"I don't have a gun"
Should be stated in a way that, at minimum, implies "mothafu&a" at the end.
I read that as street code for....
"I have a gun, but I'm smart enough (so I think) to maintain deniability if a cop shows up, but now you KNOW I have a gun 'cause I said the word "gun" out loud", so go waste some brain cycles figuring out THAT mystery, while I buy some time to find some cover, mothafu&a.
And make this face when you say it... It's more about projecting an aura of being crazed and capable of puling the trigger than it is about the words, methinks.