I think the absolutely essential thing is to decide what you believe on a particular subject, and that can often be the most difficult thing as well. Subsequent decisions become much easier once you know what you know.
In this case, what do you believe about your responsibility to her safety and that of those you care about? Personally, I believe it's a man's duty to protect from harm those in his care, even at the risk or expense of his own life. If you agree with that concept and also believe that you can repel conceivable threats of violence without the need of arms, then go with that. If not, then you know where that leaves you.
So, to the best of your ability, explain your position to her based on what you know to be true. Then let it stand. To do anything else requires you to be less than true to yourself, and that would be about the worst thing you could do.