Is it likely to happen? Probably not.
Can it happen? That's always a possibility.
If we're playing the odds, why would we even bother carrying? Why bother with the expense and time of getting licensed, and having to know the laws of the lands that we travel to or through? Why spend money on ammo, which is getting more expensive all the time?
And that's just it - we're not playing the odds. We just want to be better prepared for that worst-case what-if.