I'll take the other side of this purely for the sake of discussion:
If you come into my house carrying a gun, that's cool, I actually appreciate having armed people around most of the time. But if you abruptly light up a cigar, I'm going to ask you to step outside and reconsider whether or not I'll invite you over again. Nobody sees anything wrong with that do they?
Now, in bizarro world, you go over to Dolomite's pad and bizarro-dolomite flips his lid over you carrying a self-defense tool and asks you to take it outside. Again, it's his right to do so, but most likely, if you're a self-sufficient type of person (as most here are), you're going to leave and find somewhere else to go. That may kind of be a bummer, and a major inconvenience you - but hey - you sleep in the bed you make right?
If you're allowing someone else to shelter you, shouldn't you have to honor their rules?