I find that exchange disconcerting. As a rule of thumb, I don't tell anyone whether or not I'm carrying even when asked. You'll get more information about why they're asking with the reply "And if I am?"
The issue is that even friendlies who know you're carrying can compromise you by announcing it to intimidate someone; or, blurt it out in a panic situation like "Wolf, use your gun!" It can happen even when you know the timing isn't right due to the tactical situation, spectrum of force continuum criteria, or both.
Unless your boss has the lawful authority to order you to shoot someone, you're better off making him demonstrate a need to know by having him give a rationale for his question up front. It will give you some warning about potentially being put in a bad situation. That your boss would put you on the spot with his unqualified question in an indicator.
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