This is my first post here on THR and I feel obligated to share my feelings on this subject.
While most of my friends are gun enthusiasts, not a single one of them will ever actually purchase or own one. Because of this, among my friends, colleagues, co-workers and even family, I am considered the weirdo with the gun collection. By the by, this "collection" consists of two pistols and a beat-up old shotgun left to me when my grandpa died.
I realize the bulk of the statements that they make about me have absolutely nothing to do with my actual character or personality, it's just something else to joke about, however over time it can hurt. Especially if the ones making the jokes are close, or even just people you see daily.
If you and your co-worker are on friendly terms, I'd say it would be best to try and nip it in the bud. It is, at the very least inappropriate and implies a hostile work environment, which is the last place an active shooter wants to be.