Because in the situation you described, it would only escalate it, probably with an unfavorable outcome. Especially considering a gun is already pointed at me, when you'd want me to try to quick draw McGraw the guy...
Carrying a gun doesn't mean you'd have an answer to every situation. If that guy wanted my wallet, he'd have it, and hopefully be gone.
If it went somewhere else, then I'd have to make a decision from there, but it certainly wouldn't be trying to draw on a gun in your face.