This study investigated millennial students' responses to an armed gunman threat and shelter-in-place warnings that occurred on a university campus. Using descriptive statistics and quantitative analysis, several significant differences were found for students' responses for sheltering-in-place and engaging in protective behaviors. Baxter Magolda' self-authorship model is used as the theoretical basis for assessing differences in students' responses. This study's findings have implications for student affairs professionals in helping students make appropriate decisions regarding self-protective behaviors.