I live in PA where PA law prohibits a gun registry. If you live in a similar state, you could respond with the facts (and maybe a pamphlet or something) and explain to them that in your state it is not required.
The other option would be to tell the person that it is a legally owned firearm and all of the paperwork for it is up to date. However, I think the first option is better because it educates the public and helps correct the miss-conception that most firearms are in some registry somewhere.
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