Since I teach at a University (and carry is currently prohibited by law) I find it interesting that I get this question from time to time.
In class I've come up with a couple of satisfactory answers:
1. Smile, look right at the questioner, "That would be illegal."
My students did not overlook that I did not answer the direct question, so it leaves the answer ambiguous.
2. Smile, look right at the questioner, "Would it make you want to study harder if the answer was 'yes'?"
For what it's worth, any student of game theory understands that an important element of concealment is the doubt a criminal has. Even people who don't carry will benefit if a criminal just can't be certain. So I like to play the uncertainty card, but I like to do it in a playful sassy way.
When a colleague asked me in the hallway a few days ago, I just smiled, looked at him, and said, "I might be." I remarked to the student next to me that the question was very serendipitous (since we were on our way to the parking lot to make our way to the local shooting range).