I'm a bit astonished that people here haven't yet pointed out that answering questions from law enforcement without a compelling reason might not be the best idea.
If asked, maybe the best answer is no answer, maybe a laugh, or the shortest, least informative, least offensive answer ("no reason"), since the question was probably rhetorical at best. Does the police officer really think you're going to offer an answer that provides any useful information? Maybe he/she is in the habit of controlling the conversation by asking questions, in which case, a deferential answer resolves the issue, but the more you say, the more likely you will just dig a hole.
If he is interested in friendly conversation, the question is more likely, "what is that, a P2000? What caliber?" than "Why are you carrying that?"
A question like "why are you wearing that?" from an non-LE might indicate curiosity, but from LE, it is probably bait. The strategy is to get someone talking and let him incriminate himself, even if there is nothing to hide. (And I never wear tin foil, it is just common sense that a police officer would not ask that particular question for any good reason.)
So, my answer to LE is "no reason".
If they continue, the answer might become "is there some problem, officer?" To which I do not answer the next question, but instead might be evasive with "I've made sure I'm following the law, do you have a particular concern?" and the tried and true "am I free to go?"
I'll be happy to talk all day in response to a friendly question (make, model, caliber, where do I practice, officer so-and-so has one like that, etc.), much to the dismay of my attorney friends. But an abrasive, open-ended question like "Why?" gets no real response to most LE strangers.
Non-LE gets a polite answer like, "don't worry, it's legal and I always have it with me."