The So You Think You Can Dance host, who is married to comedian and presenter Patrick Kielty, left Britain 13 years ago.
She told how, around a month ago, she texted Kielty when he and their three-year-old son Milo had not returned from a "father and son lunch".
Deeley, 42, told The Sunday Telegraph's Stella magazine: "I texted Paddy and got a message saying 'I'll text you back'.
"Then, maybe after 20 minutes, I heard from him. They had been in a Shake Shack ... and there was a shooter scare.
"Everyone was either told to lie behind the counter or pushed into the loos. People were screaming and crying.
"Then as they were all hiding, the FBI turned up with guns."
She added: "Paddy kept Milo calm - he didn't really know what was going on - and in the end it just turned out to be a suspect package.
"But Milo is three years old - something like that has happened to him.
"The gun laws in America are crazy ... there are so many shootings".
The presenter, who also has a one-year-old son, James, said she had a "tough" decision to make about returning to the UK.
"You wake up and one day Donald Trump is your president," Deeley said.
"And you are a mother, you have children and you are in a country where the NRA (National Rifle Association) has all the power."
At schools, "there are gun-shooter drills instead of fire drills" and "then something happens and you start to live with fear".