In many cases, they literally don't know anybody who owns a gun and often the only time they've ever seen one is when they bump into a cop on the subway. In short, they fear what is unfamiliar to them, and living as they do in crowded urban environments filled with unusually large numbers of aggressive people, they tend assume the worst about human intentionality.
If I had to base my opinion of humanity on the people I rode the train with in the city every day, I wouldn't trust people much, either. That's a big reason why I left city life behind 25 years ago, and never looked back. It's much nicer here in the country - along with my family, good neighbors... and my guns, too.
They are letting emotions override logic. Humans, including “conservatives,” have a difficult time coping with the fact that horrible things can happen to anyone at any time and there is nothing you or anyone else can do to stop it. They grasp for solutions. In some cases, it’s banning guns and in other cases it’s owning one.