As it happens many, if not most, protests are held in locations where carry is heavily restricted if not banned entirely. For example, Washington D.C. effectively has a blanket ban on citizens carrying weapons in public. New York City is only slightly less restrictive.

Even in other areas, there are myriad restrictions on where a person may carry. For instance, nearly all federal buildings, many "sensitive" locations identified by the state (such as within a quarter mile of a school), national parks, etc...

And those who carry legally are well aware of how fragile their rights are - one run-in with a policeman having a bad day can cost you your right to ever touch a gun again.

The reasoning behind gun ownership is more like this: if the government institutes martial law / comes to take my guns or property / commits some huge atrocity against me or my family, gun owners will be able to defend themselves. This isn't a completely accurate view, obviously, but it's the general feeling I get from growing up in the US.

One thing to add to this - the point of the second ammendment is not only to ensure the rights of individuals to protect themselves and their property from both other citizens and the government. It's presense is also intended to act as a reminder to those who wield the power of the government that they are the servant rather than the master.

"The beauty of the Second Amendment is that it will not be needed until they try to take it."