I counter by inquiring why they don't own a gun. The reasons are many and varied: guns are scary and/or dangerous, or they aren't comfortable having one around the house, they will call the police if they need help, or they 'don't believe in violence'. That last reason is funny, mostly because violence doesn't give a shit if you believe in it or not. As for the police showing up in time to save you from an attacker: LULZ! Police exist to generate revenue and clean up the mess. (As an aside, guess who knows way more about police response times and behaviors than you do? People that commit crimes! Awesome, right?)
All the reasons for not owning a gun are just shorthand for the fact that someone is unable or unwilling to learn how to safely own and operate one. That's perfectly reasonable and understandable on the face of it. Guns and ammo are not inexpensive, and training is a commitment. But if you dig a little deeper, these same people almost always know how to drive a car and do so on a regular basis. So if people have no problem learning to drive, why can't they learn to use a gun?
They don't want to, because it forces them to confront facts about their vulnerability that are more easily ignored. To quote Sam Harris, "a world without guns is a world in which the most aggressive men can do more or less anything they want". If you don't know how to use a gun then that is your world.
To be clear: owning a gun will not protect you from violence or make you 'more safe'; it enables you to act in your interest if/when violence is visited upon you.
Depending on where you live it is highly unlikely that you will be the victim of a violent attack. You may decide that learning/practicing shooting is more trouble than it is worth. Armed with knowledge of the statistics you discern that you are probably perfectly safe. That line of reasoning is sound, but I take a more proactive approach to my personal safety. I encourage you to do the same.
A world without guns is one in which the most aggressive men can do more or less anything they want. - See more at: http://www.samharris.org/blog/item/the-riddle-of-the-gun#sthash.Lt1cAct0.dpuf