Not Every Private Investigator Carries Firearms. Some private investigators in Oklahoma carry firearms, but it's not compulsory for everyone that does the job to carry a gun. To be able to carry a firearm, potential private investigators have to show proficiency with one prior to receiving their license and to be permitted to carry a firearm for self-defense or during work hours. All investigators who have completed this course will carry the license stating “Armed Private Investigator.” A private investigator licensed by CLEET to carry a firearm may choose not to do so. No one is legally allowed to carry a firearm as an Oklahoma private investigator unless they have successfully completed the course and obtained their license through the Oklahoma Council on Law Enforcement Education and Training (CLEET).