You can fire someone for owning a gun in most states. Gun owners aren't a protected class except for Missouri where a law was recently passed to make them one, despite no known cases of someone firing an employee for gun ownership. Interestingly, LGBT individuals aren't a protected class in Missouri, despite many cases of firing employees for being an LGBT individual.
The libertarian in me feels that gun ownership or the lack thereof shouldn't be any business of my employer. I am however more offended that what a person does in their bedroom is not protected by Federal Law.