AFAIK the police here have the same duty to provide for common defense that they do in the UK, we just also have the choice of supplementing that protection if we so choose. One common reason for doing so is that the police generally function more on an after the fact basis to apprehend and prosecute lawbreakers than they do in a protective fashion, so if you want to prevent violence from being done to you it's better to be able to protect yourself. A common aphorism in the self defense crowd is "when seconds count the police are minutes away", and though I don't like to argue from slogans it does rather succinctly explain the rationale. Even in a surveillance state like the UK, I imagine there are plenty of incidents were the police simply can not be relied upon to provide physical protection, and that's where the need for a self defense capability comes in.