This is usually how my conversations go.
"Excuse me, are you a cop?"
"Why are you carrying that then?"
"What, my criminal repellent?"
"Yeah, the gun"
"Cause the bad guys carry, so why should I leave home without it?"
I usually have to deal with the ignorant people who think I need to justify my actions. So I beat them in a game of wits. Those who are curious and interested I urge to consider taking their safety into their own hands as well..usually with the question "Do criminals have gun? Then why don't you?".