I think a good example here is when you play as Ashley in the Castle in Resi 4. Shes defenceless, however, she uses the environment to her advantage. She picks up burning lanterns, and chucks them at enemies, thus burning them. She is quick and small, and so can crawl under tables etc to escape.
Another example is the Clock Tower games, completely defenceless against overwhelming odds (a massive enemy always stalking you throughout the game), however, you can survive using your wits, environment and other means. Guns do have a place, and maybe they do in some horror games, just not all of them need it.
I rekon that games where you play a normal everyday person who has no military training or the like, should not be picking up bazookas, sniper rifles, machine guns etc and pwning everything (HELLO FARCRY 3), however, if they found a pistol or a knife, you'd hope they would be able to use them somewhat to aid them, even if a bit sluggish.