There's a liability factor in possible accidental shootings, and also a liability in lost weapons.

Also, they wouldn't be able to legally carry off the base, so every morning and afternoon, you would tie up the entire base for issue and turn-in of weapons and ammo. It would be a huge cluster.

In war zones, the rules change. Depending on the location and duty title, you may sleep with that bad boy, but there isn't an 'off-base' to go home to either.