You can't use lethal force to protect property. At least that's what they taught me in a concealed carry course I took lately. Of course if they are stealing guns that changes things.
You can in Arizona and New Mexico!!!
These things are a state by state basis, as is concealed carry itself, AZ does not require a permit to carry concealed.
My Wife is a 911 operator. About a year ago she received a call from a gentleman who had people attempting to break into his home. He retrieved a firearm and sat in a chair facing the door and waitied for them to break in. As soon as they breached the door he shot them dead. There were no charges filed. Shortly after that there was another break in at someones home. They entered the home where the home owner met them with a gun. He shot at them and they fled, He was seen on home security camera footage chasing after the burglars and shooting at them AS they fled! No charges were filed, at least not on the homeowner
The articulation of self defense is much different on your property than in a public area such as a street,parking lot etc. In THOSE situations you usually only have the right to stop the aggression/threat to yourself.
Private property rights are sacred in Arizona!