I have yet to see an exception to the rule that what someone says to "simply" do a thing, the thing isn't simple.
On the contrary, there is nothing "simple," or even legal in the US about what you are suggesting.
After you are arrested, you will be taken into custody, the police take your property at that point, at least in the UK they do. If you have a gun on you it will be taken off you as part of that procedure.
Here's what
is simple, if you are caught with illegal possession of a firearm, you will be arrested, and the gun you have on you taken from you. Additionally, if you are convicted of a felony, you cannot legally own a gun in the U.S. The percentage of felons that give a **** about that law is probably, however, pretty low. And felons know where to get guns illegally. Thus taking guns away from felons in the US has very little effect on the prevalence of guns, especially among the people we least want to have them.
Having covered the felony case, let's consider misdemeanors. What if you are arrested for a non-violent crime and you are legally in possession of gun? Are you suggesting that that gun should be confiscated? That would almost certainly be illegal in the US. For better or worse, we have a Second Amendment that our current Supreme Court has interpreted very permissively.
From what I have seen from footage in the USA it seems that like the UK police you will in fact be searched at the point of arrest so any dangerous items such as potential or actual weapons are taken from you even before you reach the custody desk at the police station.
The police would continue to do the same practice as already happens, the difference would be not being given the gun back when you are released. It is simple to not give property back.
Except that under US law, the police can't confiscate a gun you legally own (unless, I presume, you have just used it in the commission of a crime), and even if they could and did, you probably have more guns at home anyway; and even if you don't, you could easily obtain another one illegally.
So, no, no exception. You "simply" don't understand the situation here.