I could kinda see the idea of an alarm on a gun safe that alerted a smartphone app. Let's say your teenage son's home, alarm's off, and he goes in the gun safe to take out the gun and show it off to his friends. You can chew him out when you get home.
As for an alarm on an individual gun, no. I have dozens of handguns in the safe, and what are the odds someone will pick up that one gun? I see the same problem with a chip. I had a gun stolen from a hotel room last year, and out of all the guns I had, it's not the one I would have guessed someone would steal.