I have a similar story.....
I stopped at a western boot store in North Carolina last summer. I bought my wife a pair of boots and she wanted to wear them home. I needed to cut some tags off but didn't want to pull my knife out in the middle of the store. The young lady behind the counter saw me struggling and jokingly said to me " if you were a southern boy you'd have a knife" , she handed me her pocket knife.
The moral of the story , don 't be embarrassed.
And to the OP, one of the easiest things to say in this situation is..... why wouldnt I carry a knife? or....why arent you carrying one?
or you could just say ...... its kinda hard to kill puppies with a spoon!