People are disarmed after they are released out of jail, and "All weapons must be on you". You store into a compartment of the car just to save your money and your weapon. Since you were jailed, and I thinks it's realistic because you know that in single player they take some money away and your weapons. Why would the police let you keep your weapons and why wouldn't they check your car because they must HAVE seen you putting your gun into the glove box or whatever.
Request denied.