They didn't have guns on them to shoot him to prevent escape. They were bearing arms in case needed to defend themselves from violence, such as the suspect attacking them in such a way as to be life threatening, as he actually did.
The racism is strong in this one, almost as strong as the anti-semitism.
If Dumb and Dumber needed to "defend themselves from violence," why did they go where the black guy was jogging in the first place? Hmmmm?
