The homeowner who pointed an assault rifle at Black Lives Matters protesters outside his Missouri mansion said he feared a "Bastille moment" from the demonstrators.
Around 500 people headed towards city mayor Lyda Krewson’s home on Sunday as they chanted “Resign Lyda, take the cops with you.”
Mr McCloskey has now defended his actions as he claims an "angry mob" made threats as they made their way to the Mayor's house.
In an interview with NBC affiliate KMOV-TV, Mr McCloskey said: "We were threatened with our lives, threatened with a house being burned down, my office building being burned down, even our dog’s life being threatened.
“It was about as bad as it can get. I really thought it was Storming the Bastille and that we would be dead and the house would be burned and there was nothing we could do about it."
Mr McCloskey and his wife, who work as personal injury lawyers, said they generally believe the Black Lives Matter movement is important.
The couple's attorney, Albert Watkins, said in a statement to CBS News: "Both Mr and Mrs McCloskey are lawyers whose professional careers have punctuated by their longstanding commitment to protecting the civil rights of clients victimised at the hands of law enforcement.
"The peaceful protesters were not the subject of scorn or disdain by the McCloskeys. To the contrary, they were expecting and supportive of the message of the protesters.
"The most important thing for them is that their images [holding the guns] don't become the basis for a rallying cry for people who oppose the Black Lives Matter message. They want to make it really clear that they believe the Black Lives Matter message is important".
No charges have been brought against the lawyers and according to CBS News, police are investigating the incident as a case of trespassing and assault by intimidation against the couple.
One of the leaders of the protest, Rasheen Aldridge said the protesters were peaceful and at no point were threats made towards Mr and Mrs McCloskey.
Speaking about the demonstrators decision to march in a private gated community, Mr Aldridge said: "Just like in many disobedient protests, even in the '60s, you break laws, make people feel uncomfortable.
"We're not doing anything where we're hurting anyone or putting anyone in danger."
Circuit Attorney Kimberly Gardner also issued a statement on Monday which called for the protection of rights to peacefully protest.
"I am alarmed at the events that occurred over the weekend, where peaceful protesters were met by guns and a violent assault," she said.
"We must protect the right to peacefully protest, and any attempt to chill it through intimidation or threat of deadly force will not be tolerated."
The Black Lives Matters protesters' demands for the Mayor to resign, follow a briefing on Friday when Ms Krewson read the names and addresses of several residents who wrote letters calling for police reforms and suggesting she stops funding them.
Meanwhile, Mississippi politicians have voted to redesign its state flag to remove the Confederate emblem.