In a recent CCW class I attended, the instructor asked me that question.
I responded with "It depends on the person asking and what mood I am in."
Then we ran over the atypical responses of;
A cop is too heavy
It's my 2nd amendment right
Because I can
So I can defend myself
...and so on
The conversation boiled down to what his response is after trying to figure out an absolute way to answer in as few words as possible...
In case I need to shoot someone
Which given my line of thinking with the implications of words being the difference between "Need" and "Have" (He might have said "have", I can not remember for sure).
"Need" in this context would indicate an action available with very limited options, whereas "Have" would indicate no options left.
Anyhow, how do you answer when posed with this question?