I'm not sure how many people have asked why I carry a gun. I was a bit affraid of that question at first, but over the last few years of carrying I learned no to.
I have a few answers for it, pretty much along the same lines as most others here. I usually give one, two or more, depending on what type of person I am talking to.
1. The same reason I wear a seatbelt. I've never needed one, but I still buckle up everytime I get in a car. I holster up everytime I put my pants on, provided I am not going where prohibited.
2. Its my right to do so. A right un-exercised is soon lost or forgotten, so I carry to remind myself of what this country really is, and of my own personal ideology.
3. There are a lot more possible situations where you wish you had one, than I would wish I didn't.
No matter what your idea of a response is, just be confident and polite with them, accepting what you can and cannot change on the matter.