A good thought, and in most states, it would be your Constitutional right to do so. However, carrying a weapon is likely to attract additional attention and there's a good chance you'd wind up dead. You're going against a foreign military trained force, and they're probably not used to seeing a normal citizen exercise their civil liberties in such a way. I think peaceful assembly is probably the best approach, and leaving immediately if anyone (protestor or police) incites violence.
I am Turkish by origin, but have been living in USA for 7 years.
I could vouch for the fact that it would make them feel threatened. They are definitely not aware of civil liberties and constitutional rights. Heck, they don't even know or understand what freedom of speech is.
In NL some Turkish minister turned up to canvas for Erdogan's push for more power and was told to get lost. She persisted with bodyguards in tow and showed up by car (after her plane had been denied landing rights).
Next thing you know there was an arrest squad between her car and the Turkish embassy with instructions to shoot if necessary. They managed to de-escalate the situation and sent madam home mission not accomplished. Never seen anything like that here.
I hear you. I just want to point out that being armed in no way implies the assembly is not peaceful.
Peaceful assembly is absolutely the way to go. My point is rather that foreign actors are violently squashing peaceful protests, so it seems foolish not to come prepared.
Good to know.