If you go anywhere that’s even vaguely touristy, you’ll find a military vehicle parked nearby and a couple of soldiers (sometimes more) standing guard, prominently holding very imposing-looking assault rifles. You’ll also find these guys at various subway stations.
The entire stretch of road next to the Colosseum is completely closed off to cars (other than police cars), with roadblocks on either side manned by gun-toting soldiers. It’s a scene you’d expect to see somewhere like Iraq or Syria, not in the middle of Europe. It’s a little bizarre.
Also: you don’t want to photograph these guys. I sort of figured as much as much, but this was confirmed when I saw a kid (he couldn’t have been much older than ten) snap a picture of one of the soldiers. The guy literally stopped the kid and his mother and made them delete the photo while he watched.