It makes sense to me - cutting yourself badly enough to kill yourself is difficult. Hanging yourself could be painful and last a long time. Drug overdoses often do not kill the person. With a gun, you just pull a trigger - instant, painless death, with no opportunity for a second thought. I know if any loved one is depressed, I'll remove the guns in the house if I can, and I'll reduce the likelihood he or she will kill themselves according to the data.
Same thing with homicide. We had a story locally yesterday. Couple got into a silly argument, wife pulls out the pistol in the bedside table used for 'protection' and murders hubby. Sure, she could have stabbed him, but she's unlikely to kill him with anything but a firearm. So the gun he bought for protection killed him. That's not unusual, but it usually works the other way, with the man killing the woman.