Why? Because of the threats made against us Christians, our leaders, and our churches.
Yes, it happens "a lot," but that depends on what you mean by "a lot." About 40 years ago, the only guards needed to warn off vandals and hecklers were deacons armed with intimidating looks and janitors armed with mops. Now that Christian leaders are getting death threats, that vehicles displaying Christian symbols are being vandalized (even in church parking lots), that churches are being set afire, and that church members are getting robbed and beaten (again, even on church property) armed guards during religious services are becoming more commonplace.
Most folks in my church see armed guards as a deterrent -- someone whose visible presence tends to discourage gang members from loitering around the church building (unless they want to come inside and worship with us, of course). This is especially important when one considers how many children and retirees attend church, how many of the former are easy targets for assault, and how many of the latter carry cash meant for the offering.
There is something about being a Christian that makes other think that we are weak and inviting targets for violence and other crimes. Some say there is no war against religion in general, and no war specifically against Christianity. Okay, don't call it a "war." Instead, call it a "Criminal Action." Either way, we have the Constitutional right to defend ourselves.
Including the Right to Bear Arms.