Costas is a friggin' clown. In his world (sports) everything's fake when you boil it all down. The rule breakers stop when the whistle is blown and then either go to the penalty box, the other team gets free shots to score, they're fined, whatever.

Meanwhile in the real world if you're walking down the street and some thug decides he likes your shoes he might just kill you for them. Blowing a whistle wouldn't stop them, they'd just get more peeved. But a .45 might be the only thing between you going home that night or going to the morgue on a slab. These thugs aren't roaming the halls of 30 Rock looking to shake down Costas so what does he care?

He's insulated from the real world crime elements, but he doesn't care if we're left totally at the mercy of those thugs. He wouldn't deign dirty himself with having to defend himself, that's what he has hired security for. Don't we all? No Bob, no we don't. My hired security is a 9mm I have to feed and train with all on my own. You want to take that away from me for my own good? I have some choice words for you buddy!