A good question indeed.
I don't know whether it was a rhetorical question or not, though.
Anyhow, first I'd look at the demographics of the people getting shot. A small minority (though growing) actually takes the responsibility to protect themselves and their families by carrying a gun, "legal" or not. Presumably, probability insists that there's a low chance of these people getting involved in a mass shooting. And, if they are involved, they will shoot back and end the threat, as we've seen (under)reported in the media from time to time.
Now, the other people who don't carry a gun and take no responsibility for their own safety, will probably not attribute his injury or the death of a loved one to a lack of security. They will look to the government to protect them, most likely through oppressing whatever demographic attacked them. So, essentially, the people who understand the more guns=less crime concept aren't getting victimized, and the people who think that more guns=more crime are getting victimized.
Furthermore, the latter group of which I speak would probably be discouraged from filing a suit of the nature you describe due to guilt. If you knew that you didn't do everything you could to ensure the safety of your loved one, wouldn't you blame yourself and not those who discouraged this lapse in responsibility?
Even in the first group I describe, there may be members who did carry a gun, but couldn't bring themselves to pull the trigger. Those would also avoid a suit out of guilt and, perhaps, embarassment.
So, that combination of factors is what I attribute to the fact that there are no suits of this type, even though they are gravely needed.