why did they laugh at him for not having a gun

Rags ( Thomas Mitchel ) was giving Destry this big build up as a tough Lawman/Gunfighter, First they see this timid looking man carrying a bird cage and a parasol, then when Tom tells everyone he doesn't carry a gun, they start laughing because he doesn't appear to be the tough gunfighter that Rags made him out to be.

Have you ever SEEN a western???

Because they remembered his father as a beast of a lawman, but he seemed weak and timid, the exact opposite.