I don't own a gun, but I live in a very rural area. It might take police 20 minutes to reach us in an emergency, even if we managed to make a call (as we might not in a home invasion, for example). From this point of view I can see the utility of owning a gun, at least in principal.
Also, imagine a scenario where a foreign power attempted to occupy a country? There is probably an optimal number of armed citizens to deter that kind of activity. As we have seen in recent years, foreign powers often do want to capture and hold foreign territory. The chance of this is small, but clearly non-zero.
We have a real-life example of the second point playing out in modern times. The relevant observation is that it's important for armed citizens to be able start a conflict in order to put other forces in play. During Bangladesh's war of independence from Pakistan, civilians captured weapons from military depots to fight against the Pakistani Army. Those civilians formed the core of a resistance movement that was then quickly joined by defectors from the Pakistani military and, eventually, India. The civilians could not possibly have won a war against the Pakistani military. But it's doubtful that India would have jumped into the war if there wasn't already an armed resistance movement for India to support.
We have learned from Iraq and Afghanistan that it's very difficult even for the world's most powerful military to hold cities and countryside against people armed with handheld automatic weapons.