Why would it be any of their business? This is a great opportunity to keep one's mouth shut, especially if you are carrying against company policy. Even if carrying isn't against your company's policy, it's still a dumb move.
I spent quite a few years working as a security guard. Based on my personal experience with the dozens (maybe even hundreds) of other guards I worked with, I would say NO.
NEVER invite "The Man" into your life. Be gray, anonymous, and armed when YOU need to be. Don't invite scrutiny, OR trouble.