Given the uses for a gun exactly what use would you have for one that would merit bringing it to work with you?
Same as why you'd want one anywhere else that you're not hunting, target shooting, etc. -- defense of yourself or others in the unlikely but possible case that it's necessary. People are occasionally murdered at work, same as anywhere else.
If you are so afraid that you need to carry a gun to work with you, then you may want to consider moving to a safer area.
What does fear have to do with it? I'm not particularly afraid of fire, but I have a fire extinguisher and smoke alarms. I'm not afraid of driving my car, but I have insurance. I'm not afraid of minor injuries, but I keep a first aid kit in the car. I don't expect to lose my job, but I have savings. I don't expect to be sued, but I have legal insurance. Like a hundred and one other ways in which the prudent person is prepared, having the means of self-defense is a good idea.
In my 30 years of owning guns, I've drawn a weapon on a human being precisely zero times. I've used a gun to shoot at or injure a human exactly zero times.
Same here, if you ignore some experiences in the military (where I also never shot at or injured a human, but I did have to draw).
Given my lifestyle, I fully expect that I'll carry my gun for 50 years and never once need it. I certainly haven't in the nearly 10 years since I started carrying it daily. Further, I sincerely hope that I'll never need it, just as I hope not to need my life insurance for a very long time. But in the event something really bad happens, I've done what I can to prepare.