So the cop was rational. It would be very strange to be afraid of someone who told you that he was armed in a friendly manner. That's why it's so incredibly stupid that open carry is illegal here.
If any reasonable person, especially a cop, gave it 2 seconds thought, a criminal is always going to conceal a weapon. I think we have a right to conceal without a permit, but if a person was looking for trouble they're going to hide their weapon to surprise.