At the risk of starting a whole new argument. Oh, you're doing that and since you're the OP I guess we can go along.
Vehicles don't need to be insured, registered or require any license to be driven, unless you do that on public roadways which are paid for by taxpayer dollars of some form. Forget the tax issue though. If I want to let my 10 yr old drive my Jeep at home or deer camp or whereever, I can without any legal responsibility, barring child endangerment, being an issue.
By driving the auto on the road, you are using that "dangerous" piece of machinery in public on roadways which are used by other individuals. The use of the vehicle is what is prohibited without the proper paperwork, and insurance to cover any damages that may result from its use.
The firearm isn't being used in public, it is simply being transported on ones person or in some states in the automobile. There are a number of laws which prohibit the "use" of firearms in public. By not allowing the "use" of the firearm, they are greatly restricting the ability for it to cause damage to someone else or their property. Therefore no need for insurance.
If the "use" of firearms in public was as common as the "use" of automobiles it may be required. The state minimum requirements on insurance serves to keep the courts from being bottled up with liability cases which would result from the volume of accidents that happen daily.