Well, say someone tries to steal your car, but you have a concealed gun. You could let the man take your car after deciding an automobile isn't worth a human life. You could shoot the man before he hurts you or others. You could scare him off, where he might think twice before trying to rob someone else. You could perform a citizen's arrest and let the courts handle the situation.
What are your options if you don't have the gun? You could call the police, but then they carry guns, so that's just passing the buck. Again, you could let him steal the car after deciding its not worth a human life, although the thief may decide otherwise and harm you anyway. You could try to flee, but he might catch you.
Lastly, if the thief knows you have a gun, do you think he'd even attempt to rob you? Is he even still a thief?