My friends think i'm part of the mafia or something, should i show them proof that im not or let it be for now?

A couple of nights ago i was with my uncle at his nightclub, i had dressed up....and my uncle has some scary looking bouncers around him usually also. One of my friends saw me come out of a limo with the bouncers, and a security guard that was there with my uncle's deposit money. The guard had a licensed gun with him obviously, and it was visible. My friend told my other friends, and now they think im part of some illegal mafia type thing. Its getting really annoying, like a running joke that gets boring. I think some of them think I really am up to something illegal, what should i do?