If you care about their opinion, have a rational conversation with them and find out why they feel the way they do about guns. Also offer to take them to the range with you.
This is what I do, if I can. Sometimes it works, and leads to intelligent discourse. Some of 'em actually make good, and go to the range. Sometimes it leads to much amusing smack-talk. (I am a cranky wiseacre what manages a bar, at least for the next two and a half months)
Sometimes, if they disagree, I just shrug it off and we understand that everyone has differing opinions on certain subjects, diff'rent strokes. Some of these people I call friends.
Occasionally, someone seems a bit indignant that I choose to live my life the way I do. Usually, these are friends or co-workers of people that I know who are aware of my hobby, and feel the need to bring it up. A memorable fellow that used to live here would joke to said folks not to cross me, or I might shoot them. He has been informed why this is not something to say casually.
It usually doesn't go much beyond this. If it does, hey, it's my party and we don't have to be friends if you don't want to. I can still serve you and take yer dough. Even be civil, long as you can be.
Then I'll go home to my mostly understanding wife and my mostly happy life will continue. The cats like me most of the time, too.
If you feel warm and fuzzy thinking that I am insane or paranoid, and really feel the need to tell me so, more power to you. Don't bother me at all. (Looks around wildly, mumbles randomly to self)