I'd guess it's because they are targetting the general retail crowd, not overly the gun crowd. Some people would get nervous seeing a guy with a gun standing next to the basketballs, fishing poles, or dog treats.
It's just a stupid thing to work in, of all places, a gun store and not be armed. Just think about the insanity of that. lol
I think I can top it... we can't open carry at a gun range, because it's "intimidating" to the customers.