We're lucky that the Mind Flayers even let us keep our weapons at all. It would make more sense that we'd have to find our stuff in a box somewhere.
It seems in the intro that everyone captured is just teleported straight into the pods, so any weapons and armour comes along for the ride. They probably don't see much reason to open the pods to strip the victims of gear, it's not like getting out is commonplace if Shadowheart's efforts are any indication.
