I don't own a gun, but I live in a very rural area. It might take police 20 minutes to reach us in an emergency, even if we managed to make a call (as we might not in a home invasion, for example). From this point of view I can see the utility of owning a gun, at least in principal.

Also, imagine a scenario where a foreign power attempted to occupy a country? There is probably an optimal number of armed citizens to deter that kind of activity. As we have seen in recent years, foreign powers often do want to capture and hold foreign territory. The chance of this is small, but clearly non-zero.