Utah has what they call "constitutional carry." Extremely permissive gun laws. I'd bet there were several people carrying concealed in that crowd, not counting security and police.
Regardless of where you stand on the subject of concealed carry, I don't think its controversial to say we shouldn't be encouraging untrained/unvetted folks to go seek out would-be assassins before they have demonstrated themselves to be a danger. That's exactly how "armed security" shot and killed an actual bystander at the Salt Lake City 50501 demonstration earlier this year.
The theory then is that this will act as a deterrent - an angry bad guy wants to go out taking dozens of people with him - a few people wouldn't be "enough" for his grandiose end.