this is simply self–defense from other settlers when walking home late in a dark Martian tunnel.
If you want to carry it at all times, then it will have to be small, lightweight and convenient, which rules out the huge air rifle. We can assume any weapon that is able to make a hole through the walls that keep the air inside the colony would be illegal, same for anything that would be able to break windows or domes, also Isaac's plasma cutter, etc.
Thus projectile weapons, or energy weapons powerful enough would be illegal. A shotgun with frangible rounds would not have this problem, but your question rules it out too.
First rule of gun control is that criminals don't abide by the law, so the only thing gun control achieves is make sure criminals are the only ones who are armed. In a space colony there would be a way to circumvent this somehow, if you filter out any wannabe criminal who would wish to join, and have cameras everywhere and swift justice to get rid of the ones who will slip in anyway. But since you ask this question, I'll assume you want some action to occur in your space colony...
Therefore, unless you only eat goop which has "everything the body needs"...
...then you will have to cook, and perhaps peel some potatoes like Matt Damon did, and therefore...
If knives are illegal, then your environment would be similar to a prison, and you would get Prison Shivs. This is "a bit of sharp stuff" with a handle.
In ye old times when common people were not allowed to own swords, they would carry tools and implements that would seem justifiable considering their profession. Think sickles, knives, hammers, stuff like that. In your space colony, maintenance will be necessary, so some people will carry Big Heavy Wrenches, or perhaps a length of pipe suitable to bash someone's face, or the timeless classic:
After all, everyone knows you never go through the airlock without a crowbar! In case it gets stuck on "vacuum".
Chemical weapons are always an option, although tear gas will not earn you brownie points, as it tends to get into the atmosphere processing unit and spread inside the whole base. Better use gel pepper spray.
Stun guns and other implements that make cool sparks could work, too. Tazers also. The local police is likely to carry stuff like that.
I would bet on knives, though.
Especially since space radiation mutated the plants in Hydroponics, and everyone was issued a machete. Those martian tentacled potatoes are nasty, man.