And we must not forget this thought process:

Touching the Lens will _hurt_.
Fencing a Lens is very difficult.
Those who would buy a Lens are either: A) Very bad news, or B) Working with the Lensmen, (see A).
I'm just going to leave the Lens here or ditch it somewhere.

Meanwhile:

A Lensman's gun is rather distinctive.
But it's not as much of a problem as the Lens.
Fencing it wouldn't be that hard.
If nothing else, it can be sold to someone who is going to use it once then toss it or passed through a fence who can try for a 'recovery fee' from the IPO<1>.

Someone taking just the gun and not the Lens would make sense.

<1> "One of the local street toughs got it somehow, said that since he couldn't get ammo for it he may as well use it to get some stims."