Normally, one would by a gas mask, but given cost, bulkiness and being a target when wearing one, this might not be the best option. Based on a pamphlet i saw floating around the internet, you can make your own primitive gas mask out of some stuff you have lying around the house.
WARNING: Tear gas is no joke, it burns, hurts and makes you cry for your mommy. Those with respiratory issues should be aware that tear gas can complicate things, leading to injury or even death. Do not use this gas mask tutorial for life threatening situations.