This is just me, but if asked if I had a weapon, I would answer "Yes, officer" and if he asked where, I would tell him that it is in the console.
Also, under the MPA act, I *believe* (IANAL) that you are required to disclose such information to the officer who stopped you regardless of whether or not you have a CHL.
To me, the answer is just obvious. Especially if, for some reason, the officer has probable cause to search your car, and you've said no, and they find it - you're in that much more hot water.