Yeah, bingo. The odds of ending up being in a place at the moment where a) a mass shooter is going to open up, b) you're in a position to do anything aggressive toward him, c) you can be and are legally armed with some weapon effective at the actual distance which separates you, d) you don't have more pressing things you should be doing in regards to getting your loved ones out of the fire zone, e) etc. -- are extremely low.
Far, far lower than the already very low odds that you as a law-abiding citizen living, working, etc. where you, personally, live and work will be violently attacked in a robbery or other run of the mill assault.
If I go to the mall, or out to eat, or to a concert, I don't carry a fire extinguisher, AED, personal flotation vest, parachute, a hard hat/helmet, or any number of other protective and preventive items which could save my life in situations I realize could happen to me at about the same rates of likelihood -- or much greater likelihood -- as meeting a mass shooter.
As spectacular and shocking as these thing are they simply do not represent a real increased risk factor.