And the standard English way would be "I don´t need any protection." instead of "I don´t need no protection." , while you are at it.
Yet, the second sentence could be used, on informal, non-standard speaking. As they use it in songs, movies, and other areas, representing the way of speaking of people with not much formal (e.g.school) education, or one that spea.k the language of the streets etc.
So, it´s in use in informal circles. As you saw in the game.
"I don´t need protection" is used, but in a less emphatic way. Making a comparison of sorts, it´s equivalent, in portuguese, to
"Não preciso de proteção." compared to "I don´t need any protection." (eu não preciso de nenhuma proteção [de sua parte, da parte de vocês etc...]
As you see, it´s a matter of emphasis, of making a stronger statement.