If one isnt a "gun person", then choosing to have a gun around is a big decision. I am a gun person, and have been around them and been shooting pretty extensively since about age 10 or 11. I have one or a couple (rifle and pistol) around whatever I happen to be doing.
The circumstances of sleeping with one in hand is simply a judgement based on the location at the time, and/or people around or potentially around. Others may not make the same decision, it was mine at the time.
Its easy to say "just go somewhere else". I wanted to be where I was for the most part. If the perceived risk was different than other places, thats just part of life. Some may feel that its fearful to sleep with a gun handy, others may feel its fearful to change your plans because something may happen. I probably tend more towards the latter. If its a real risk, sure, go somewhere else. Sometimes theres no particular thing to say is an issue, just a different level of likelyhood than somewhere else. Closer to highways, more people coming and going in an area, being in the general area (near a certain town) that has had fairly regular armed robberies, high levels of wanted fugitives collared by the police, or crooks doing weird things (panty bandit, assaulting couples parked in cars in out of the way places). All are factors to consider. Just like going down a muddy road, one assesses the situation, and you make a decision, "I can deal with this" or not. Sometimes simply avoiding all possible risk is fine, other times, it limits your options more than one cares for.
Where I am now, an armed robbery, or especially a homicide, usually makes statewide news. in Az, both were common enough that they are moslty local news. I wouldnt give up camping or adventuring in Az over that. where I am now, I literally know, and know of, more people that have been assaulted by bears than by people. Totally different risk factors. I try not to let either make my choices for me, just assess each place and situation at the time, and act accordingly.