Maybe I look at things differently because of my ever increasing old age, but if a friend invited me to a party in his home and asked me to leave my weapon in the car, my decision would depend on how good of a friend I considered him to be.
That said, him being your new boss does cast a different light on the situation. Two things come to mind:
A.) If you carry in his home anyway after you have been told not to (as some have suggested), you really run the risk of really ticking off your boss. Remember..... even bosses have to listen to their wives.
B.) If you refuse to go to the party after your boss has taken the time to invite you, it might have repercussions later on in your business relationship.
Only you can make the decision, and it appears you have made yours and will be sticking to it. If it were me, I'd leave my gun in the car and have a good time. If there was alcohol served at the party, I'd just leave my gun in the safe at home.