I know someone who likes guns but thinks just like your friend.
He probably got the permit just in case, but dosn't know the reality that anything can happen at any time, not just when he wants it to.
There could also be the fact that he dosn't trust himself to carry a properly loaded firearm. He also may think a gun can go off by itself.
He may have tried carrying with a poor holster and belt, found it to be uncomfortable and stopped carrying all together. This happens with a lot of people so since he dosn't carry for whatever reason, he finds you carrying today as a funny thing.
There are also a lot of people that think that if they lived as long as they did without a gun yet, they surely won't need one on them for the rest of their lives.
"Being paranoid" is a term used by someone who just dosn't understand how the world really is.
I hope it never happens, but if you both where in a scenario where you had to draw your firearm in self defense, I'll bet he'll be doing nothing but wish he had his carry gun on him right then and there, especially since there was no excuse not to have it except that he felt he didn't need it before the fact.
He's obviously not serious or even concerned about self defense so I would just continue doing what your doing and leave him to his own opinions.
ETA: I just thought of a funny scenario with my friend that is like yours. We were sitting in from of my house doing something by his truck and some suspicious vehicle was slowly coming up the street. We both watched it slowly move our way and before it got to us he looked over at me and asked "You have your gun on you?" I just said "yea" and watched the car slowly drive by us and turn down another road. Knowing full well he wasn't carrying, I figured that might have some impact on his idea of carrying all the time, but he still dosn't feel the need to.
It just goes to show you that some people seem to live in a fantasy world as long as nothing bad is happening to them.