[adamc]

Right, in English "wear" generally means something you can "put on" and you can't "put a gun on" either.

Although you can put on a holster. ;-)

[shkkmo]

Although, in this case specifically, "wear a gun" is pretty common place and doesn't sound out if place at all.

I think this may come down to regional dialect differences, but it doesn't make this pedant look good (and I generally love pedants.)