No one ever said anything like that to me and I'm from Small Town USA in Colorado.
It could have to do with the terrorism going on in Europe though. There have been what, 4 different terror attacks in France, Belgium and Germany this year? Britain hasn't experienced any thus far.
And I'd agree with BriKH, I was much more worried about being murdered in Colorado than I ever was here.
Road ragey people with guns, unhappy students with guns, men with guns who are angry at women...
You don't have the whole gun worry here.