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There's an old Chinese adage the comes to mind, "When in danger or doubt; run in circles, scream and shout". That's one approach.

Another approach might be to remain cool as if all is as it should be. No explanation is required, you're just doing your job. This second approach assumes that you have the appearance, bearing and manner of one who could be authorized to carry a gun.

If you don't have the appearance, bearing and manner of one who could be authorized to carry a gun, see first approach above.