People typically aren't that nosey, but if they were I would just make something up I guess. I've never really thought about it because its not really an issue.
As for the gun free zone, in the unlikely event that they're suggesting to go to a government building, school, or other place where carrying is unlawful, I would just carry.
NRA Certified Pistol Instructor & RSO, IDPA Sharpshooter, Project Appleseed Rifleman
Member NRA, GOA, SAF, VCDL