Well, I do not have a security system, and this would be my approach living in, say, Norway, for example, as well. While European countries do a better job at intervening prior to people choosing to participate in criminal behaviour, there is still a risk that you will have some crazy person come bother you that you don't want around.
Our main reason for being armed is that traditionally, police have had less than stellar response times for incidents where we live.
While I believe crime numbers are a little bit lower in the EU, I don't think they differ that much. We do have a more equal distribution of wealth and a (bit expensive) system of social services for the poor, which traditionally prevents people having to steal for a living. Unfortunately the number of break ins (and the like) over here is on the rise due to the EU expanding eastward to less wealthy countries with higher crime rates.
What I see on television and read on US news sites, is that the level of violence seems to be much higher in the US than over here. I guess it's a vicious circle caused by both law enforcement and criminals. Let's for example compare the armament of a typical British police officer (no gun, baton) with an American (gun, can of mace, maybe a taser) and then add a shoplifter to the equation. The British shoplifter only has to run faster than the police to get away, the American thief on the other hand has to match the firearm of the police officer to stand a chance. Creating a more dangerous situation for the shop personnel and bystanders, while the status quo between the criminal and law enforcement is the same.
Bottom line, if I was born in and living in the US I would probably own a gun too.
It's just a different way of living. The threat is everywhere but in general, as a culture, we don't expect other people to protect us. Given that people are so consistently corrupt and selfish all over the world, it's not unreasonable to feel most comfortable taking care of yourself. Common saying "If you want something done right, do it yourself."
On another note, I make all my security. I prefer unorthodox methods and redundant power and network. Always keep people guessing, always have a backup plan... Or two.
You're probably right about culture being a factor. I suppose most Americans are much more security and threat focused than the average (western) european. I've only been in a possibly dangerous situation maybe twice in my life (27yrs) and thus don't even think about being on guard in my daily life. I'm not sure if making plans for every possible bad situation you can encounter is going to help anyway, chances are you're getting robbed or have your house being broken into despite your every precaution anyway. I do lock the front door at night (apartment) and look out for pickpockets when in a crowd but that's about it. And I like it that way, I'm very annoyed with our current administration, they're encouraging fear and pursuing more repression based on that war on terrorism crap.
We have retards calling 911 over happy meal disputes, thus we can't rely on a fast police response time. It takes 30 seconds to force entry into a home, it takes ~7-15 minutes for cops to show up. A lot of criminals here are armed, on drugs, or both.
http://www.dailymail.co.uk/news/article-2383757/Man-calls-police-McDonalds-hamburgers-instead-seven--gets-arrested.html
Talking about emergency services mess ups, we've had two big 112 outages this year, each lasting several hours..