There is no one to blame here except this nut job:
Lots of people have tough lives, and bad childhoods. They don't turn to mass murder.
The gun range owner, what more could he do? Call the cops, and say "Hey, I had a strange applicant who has weird answering machine messages!" At the most, the cops would note it, but that's where it would end.
The guns were not illegally purchased. But than neither are most of the knives used in stabbings. In fact, I feel rather safe saying that more legally purchased knives were used, proportionally, than legally purchased guns, in the commission of crimes.
He did not act sufficiently to attract the attention of anyone.
Was not physically, or mentally disabled.
There are some articles that now mention that he sent a notebook, with disturbing writings to a psychologist (maybe psychiatrist, not sure) so while we're at it, why don't we blame a medical professional for not speaking up.
Except that the only time a doctor can break patient confidentiality is with a patient's permission, after the patient is dead, or if the doctor believes the patient is likely to do harm to himself or others. Outside these parameters, the doctor would be risking their career, and reputation.
Is the theater to blame? Again. No. Thousands of people head out to the movies everyday. How often does something like this occur? As far as I know, this is the first time.
Of course now millions will be spent on prosecuting this piece of trash, to inevitably find him either sentenced to life in prison, or death. If it's death, he'll still be alive for many more years.
[/rant]
Even if they do see it, normally the worst that will happen is they will ask you to leave. Failure to do that when asked can set you up for a trespassing charge, not a weapons charge. 
