Mine, mounted to my BCD, is actually hard to spot - unlike a foot long leg mounted knife. I've been to more than one place that didn't like knives, and I have never been busted.
Here are two contrasting stories about this sort of thing. They happened about a year apart.Who told you that you couldn't carry a knife? We've got at least 200 dives off Cozumel, and none of us have ever been asked to leave our knives behind.
We were putting on our gear for a dive in Cozumel. I watched as two divers had their knives in place and were securing their collection bags. I glanced over at the DM, who was watching them with what I perceived to be an uneasy look. I spoke up, telling them that carrying knives and collecting things was not allowed in the marine park. They looked over at the DM and asked if that was true. He nodded and said I was right. They did not hesitate to take them off. The DM was clearly never going to tell them it was against the rules--he had probably been told by his employer not to intervene on that issue.
We were putting on our gear for a dive in Grand Cayman. Two divers were pulling on their gloves. The DM told them that wearing gloves in the marine park could get them a $500,000 fine. They laughed and continued to pull them on. The DM's voice got quite stern. "That's a $500,000 fine! Take them off! Now!" That DM's employer must have had a different policy.