Except a megaphone and a gun are not equal. Cloud saying he has no use for a megaphone makes perfect sense, because a megaphone generally does not register as a weapon. Cloud saying "I can't imagine what possible use I could have for this gun" while they traverse the world fighting monsters and Shinra troops is not so credible. Even though none of the party members can equip guns (except Barret who equips customized guns) because it's not their preferred weapon type, presumably they can pull the damn trigger in a pinch.

Whether that makes it worth carting around might be a different question, but since they apparently have access to hammerspace, why not?