The thing is that laws vary. In AZ when I lived there, it was legal to carry a weapon, as long as it was in plain sight. It could not be hidden in any way as that was CCW - including under an untucked shirt. Additionally, you could have a gun sitting on the passenger seat of your car (but if you got pulled over that better be the first damn thing out of your mouth so they're aware!!) but if it's in the glove compartment/box or under your seat or even in the trunk/boot - CCW and you need a special permit.
We'd get calls all the time - someone walking down the street with a gun in a holster.
Us - is he threatening anyone?
Caller - no.
Us - is the gun in the holster or in his hand?
Caller - in the holster.
Then we had to explain that it was legal for someone to carry a gun and that if he threatened anyone or was acting aggressively, then we would respond but walking with gun was not something we could do anything about.
If there was anything else suspicious about his behaviour, then we'd check on it just in case.