Crime is a major problem in South Africa and many people keep weapons at home.
Pistorius has previously spoken of carrying a firearm when faced with a potential threat at home and of visiting a shooting range.
A year ago he told the New York Times of an incident where he took his gun to go downstairs to check on what turned out to be a false setting off of his security alarm.
He also took the newspaper's reporter to a nearby shooting range with his 9-millimetre handgun after learning that the journalist had never fired a shot.
Asked how frequently he went to the shooting range, Pistorius said: "Just sometimes when I can't sleep."
The Johannesburg-born athlete -- known as "Blade Runner" because of his carbon fibre running blades -- made history at the London Games in 2012 when he became the first double amputee to compete in the Olympics.
He won gold in the 4x100m relay and the 400m individual at the Paralympic Games in London and was triple gold medallist in the Beijing games in 2008 in the 100m, 200m and 400m.
Pistorius was named by Time Magazine last year as one of the world's 100 most influential people.
"You're not disabled by your disabilities but abled by your abilities," he told Athlete magazine in a 2011 interview. More (AFP) AT
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