The only freedom liberals have ever considered worth protecting is sexual freedom. Some would argue that this is to keep the people destracted so they don't notice the coming police state ... others believe this preoccupation with sexual freedom is because part of the liberal agenda is to destroy Christianity (I think its a bit of both).
At any rate, other then fighting against feminism, Hef has always been on the side of liberalism, why would he be pro gun?
Most people pic their positions on various issues (like gun control, abortion, environmentalism, gay rights, religion, etc) because the "side" they have chosen maintains that position. Hef decided to be a liberal because he likes sex and conservatives didn't like his magazine ... liberals are for "sexual freedom" therefore he tows the line and follows what liberals positions are on other issues (whether or not he agrees with them or not).
Also, he seems to buy into this silly notion that gun control does good ... therefore he can publicly come out in support of gun control to "make up for" his other sins (namely not taking the liberals position on feminism).