Beware the escallation.

Part of the role of the GM is to challenge the characters. If the players insist of being armed to the teeth all the time, the GM will likely feel the need to over-arm their opponents as well. And given the opponents of most modern-day RPGs are rich corporation-backed mercenaries and similar, these opponents can afford stupidly expensive weapons. Which will end up in the PC's hands, so the GM then feels that they have to put even more armanents into the hands of the opponents; wash, rinse, repeat.

I find that in most of the modern-day games I've played in, the characters who stealth the session with garrotes, combat knives, and tasers, and the characters who provides overwatch as snipers, hackers or even old-fashioned lookouts, are the ones that last longer overall than the bruiser who tries to carry a minigun with built-in grenade and flamethrower down a busy city street.