First of all, among the gun deaths there are people that shot themselves, and also people shot in gang shootings and such (where, if you're not in a gang you're not that affected). So the number is somewhat inflated (of course still bigger than terrorism).
Second, people fear going into violent neighborhoods with gun crime (say Compton at night), a hell of a lot than they fear terrorism. They might agree when asked in polls that "terrorism is a great threat", but they sure as hell as pragmatically more concerned with areas with violent crime, and avoiding them in their day to day lives.
Third, as people in certain places have witnessed, terrorism can be a constant source of death and horror, with multiple incidents per year, or even daily if a country goes sour. Just because it hasn't happened in some place, it doesn't mean it's impossible to happen (e.g. if there's a sizable militant islam population in the US).
Fourth, terrorism can also bring much more horrible outcomes than the regular gun death, even more than a mass shooting. Some crazies can kill literally tens of thousands via some (not that elaborate) plan. And while it might not always be possible to predict or prevent such a thing, one can still fear it (and fear to further stir the conditions that might make it happen).
Fifth, do the people that are OK with guns believe that if there was strict gun control gun related crime would go down? Or do they believe that criminals will be the only ones with access to guns (bought illegally of course)? If the latter's the case, then it makes sense to be OK with guns, as they see them as something they can use to protect themselves against violent crime and that the criminals will have anyway. And of course nobody realistically believes that they'll snap and kill their spouse with that gun (or vise versa -- as it often happens). It's more realistic, in that sense, to fear terrorism than yourself.