Source, in full
... I bought a small thirty-two automatic, and when I arrived in Berlin I went to a tailor with a sketch for a silken holster which was to fit neatly under my arm. (I had read about Chicago gangsters wearing their guns in this fashion.) Arching a brow, my Berlin tailor made the holster, which was comfortably padded. From then on my thirty-two automatic accompanied me everywhere, especially to concerts.
Notes from Wikiquote
Quite a number of observers have commented on my coolness during various riotous concerts which I performed at during those first tumultuous years of the armistice between World War I and World War II. The reason is very simple: I was armed. | In early 1923 I once played a return engagement in Budapest which years later earned me the highly valued friendship of Ben Hecht. Several weeks earlier I had played a concert at the Philharmonie in Budapest and the audience had rioted. That did not disturb me so much as the fact that because of this bedlam they had heard none of the music. So, at my second appearance, I walked out on the concert platform, bowed and spoke up | "Attendants, will you please close and lock the doors?" | After this was done I reached in under my left armpit in approved American gangster fashion and produced my ugly little automatic. Without a further word I placed it on the front desk of my Steinway and proceeded with my concert. Every note was heard and, in a sense, I suppose I opened up the way in Hungary for modern music of a non-Bartók–Kodály variety.