Nope never.
I have a gun license, I own a gun, albeit a rifle (remington 7615), I have a sweet KA-BAR knife. I hunt rabbits, pigs and deer.
But I live in Australia, where simply having an unlicensed firearm gets a 5 year sentence. I intend to obtain a handgun license for target shooting, but I'm not a cop/security guard/private investigator so I can't get an exemption that allows conceal carry. If there was a burglar in my house I'd probably fetch the rifle, but that's it.
As for knives, well unless you have a proper reason (such as occupational, self defense isn't a legal reason) you can't carry an offensive weapon.
So what do I do? I don't visit dodgy areas at bad times of night, I drive instead of take public transport and if I'm out clubbing or something I have a handful of loose change in my pocket which I'll throw at a would be assailant before I GTFO and hope the bouncers deal with him (you'd be suprised what that does, people have a natural instinct to try and catch or dodge something thrown at them)