To me it's the principle of the thing more than a safety issue. Your state wants my money, but disregards my freedoms? Okay, if it makes your people feel safer, I'll stay out of your state and spend my money elsewhere. I can have just as much fun in someplace like FL as I can in a place like NJ, thank you very much.
I don't see it any differently than patronizing businesses that agree with me socially and politically.