Hmmmmmmmmmmmmmmm - this is a double edge sword.
Assuming your dealing with a level headed, cool, LEO - I would say not a bad idea if you think you will be subject to a probe/pat down type search.
However, if your firearm is well concealed and you are legally permitted to carry, all paperwork in order, why bother, again, unless you will be searched and at that point you better anti-up.
Now, what if you offer up that info to a disturbed LEO, angry type guy, hot under the collar, quick on the draw, paranoid type, (and their out there) you may get more than you bargained for, God knows what that type of guy will do, right paperwork so you loose your carry rights, cause the guy is a steam head...
Bottom line - it's and incident to incident call there is no right answer here.