I hope you are aware that you do not have to answer their questions or permit an inspection. The best answer is always, "I don't answer questions. May I go now?" Even if you are innocent - especially if you are innocent - answering official questions can be dangerous.
I think I know why. Arizona went "constitutional carry" meaning anyone over 21 not prohibited from having a handgun may carry one, open or concealed. Nevada permits open carry but requires a permit (not difficult to get) to carry concealed. It's really none of their business, but some people have to be given make-work jobs, I guess.