The answer depends on the person asking and the setting. If it is a reasonably trusted associate asking conversationally, I'd probably answer "yes." If it is someone I don't know very well or we're out amongst a bunch of people I don't know, I'd be a lot more reticient to answer honestly (and trying to figure out why they're asking). The other major concern is that some people are mouthbreathing idiots and can't keep their pie holes shut, and if there is some manner of dispute they can and will announce loudly, for all the world, that so and so better stop such and such because my friend here *points to you* has a gun. Or, worse- you actually end up in a situation where you may have to shoot someone (Armed robbery while you're shopping, dining out, whatever) and you get outed by someone encouraging you to "do something" while you're waiting for the right moment (or recognizing that they have the drop on you and are trying to survive the encounter and be a good witness).
Naturally, you can avoid this by not hanging out with idiots, but sometimes it's the friend of a friend (or friend of that friend) that is the problem. No man is an island, nothing is 100%, and you can't pick your friend's friends (or his nose).
In general, though, I agree in answering honestly and treating it like a normal thing, which it should be.
Mike