It is probably more uncommon that they leave by foot in New Mexico - I mean where are some 60-year old going to go by foot and shot themselves without their bodies being found.
uhh .. the desert?
On the other hand, if you were non-suicidal and going for a walk in the desert, you might take a gun, to protect you from rattlesnakes, coyotes, javalinas... (or are javalinas just an Arizona thing?)
I might take a gun and some water, but point taken!
Taking a gun to protect from rattlesnakes? Why not a big stick?
I postulate they simply didn't want to be found at home.