Maybe it's the perception of how they'll be used
Knives.
I think it's rooted in the perception of the proxemity of use of knives -vs- guns. Guns are usually used to hold persons at bay from a distance. That distance between, say, you and a gunman, offers a bit of feeling of security. Knives, on the other hand, require the wielder to be much closer to the target to be effective. That could most certainly be more frightening.
Having never been assulted by a person with a gun or knife, the above if pure speculation.
In either case, Carry On!