Most work environments have you interacting with many different people, but this employee feels unsafe because his coworker open carries a gun to work and he's slowly come to the realization that he is unstable and might use his gun for the wrong reasons.

Most of the comments were suggesting he should leave, because getting into some altercation or going to HR may result in negative consequences. And most are saying open carrying a gun is a coward's game and he's doing it to intimidate his coworkers and not for protection. Whatever the case is OP should probably consider other employment.