+1 weird gift.....
Is he over paranoid? Or just hyped up about guns? Or is it possible that you might have put yourself into a position in the past that made him think "woah, if that had gone a little different, X Y or Z could have happened and a gun would have been a really good thing to have"?
I have to comment about the suggestion that you leave it in the car. What good does it do you in the car? It might as well be at home, a bad situation might not play out where it gives you the luxury to get back to your car, and if you could, you should drive out of there. Just something to think about.
No one wants to think about bad things happening to them, but bad things happen to good people all the time. Its easy to get complacent in the day to day routine and feel a false sense of security. I had an incident happen about a month ago, and it all happened so fast, you don't have a lot of time to think, and looking back I wish I would have been carrying at the time. A guy messed up on drugs tried with his buddy to rob us, in broad daylight, with witnesses around, and it quickly got out of hand. Luckily my dad was a quicker thinker than I was, and happened to be carrying. It didn't require using it, but just showing it caused the guy to think twice and start backing up, it gave us enough time to leave the situation. Its crazy how fast it all happened, one minute we are getting out of the car to get Arbys Roast Beef sandwiches, the next moment these guys are rolling up on us planning to rob us.