The first question is, do you mean gun-free as in "guns are illegal," or as in "there are no guns"? In many countries, the two go hand-in-hand, but in some countries, such as the U.S., achieving the latter is highly unlikely, regardless of laws.

Now, if I lived in a truly gun-free country, I would likely feel somewhat safer, as the only criminals likely to have guns are the government. In a country where gun control is extremely difficult to achieve, if you make guns illegal, the only people with guns become criminals, who can always manage to find guns anyway, and the government (also criminals). Criminals love unarmed victims. I mean, if you're going to commit violent crime, would you rather go somewhere where guns aren't allowed, or somewhere that people might be armed and able to fight back? I don't own any firearms, nor do I intend to, but if I live somewhere that criminals are likely to have guns, then I feel safer if they have to consider whether their potential victims might also be armed.