Well, at least it wasn't your proctologist asking. You wouldn't have been able to say you looked him in the eye and answered.
I have been asked many times, usually after a comment by some PC gun hater. And I answer "Why, I am a card-carrying life member of the NRA. Of course I own a gun!"
It does cause a minute or so of great concern at a traffic stop when the LEO spots shot shells on the dashboard of my pickup.