I think the problem is that they truly and I do mean truly believe that they are either in danger.  The rise of right wing media has portrayed the world as an extremely dangerous place, where at any turn, you can be attacked.  There is a subset of the right that has taken that message to heart, and truly believes that you are in danger of being killed in a terrorist attack at any time.  When I took my CCW course, the instructor kept talking about how you must be prepared at any moment for someone to jump out of the bushes and attack you.  I found the whole idea kind of strange.  And no, I do not carry on a regular basis, though I do shoot regularly.