Megami Tensei - Persona - I'm pretty sure Japan has some pretty strict gun control laws...

Honestly, it was always so weird how they were never caught from Day 1, considering Ryuji does everything in his power to screw everybody over.

Ryuji: (gets out megaphone) GEE, I SURE DO HOPE THAT NOBODY DISCOVERS THAT WE'RE THE PHANTOM THIEVES!

Also, these are just model guns. And just as Iwai said, the melee weapons are less dangerous than a butter knife. It seems they become real weapons in the Metaverse.