Continuity mistake: At the start of the film, Mahoney is wearing a white shirt with badges on it from the company he works for. When he's being interrogated by Sgt. Reed the shirt remains the same until the last part of the scene. The camera stays on Mahoney and we can see that the badges on the shirt are gone. If you look closely, you will notice that he is even wearing a completely different white shirt, which now looks more scruffy and creased. (00:08:00)
Continuity mistake: When Lassard sees that there is shoe polish on Harris mouth, Harris holds his baton by the shaft. In the close-up, he's holding it by its handle.
Answer: With no witnesses to say HOW their guns were taken, they could have said they were taken by surprise and overpowered. Knowing their characters, this is likely what happened. No one would know the truth, that they simply froze and allowed the man to take their guns away.