Short answer:
Yes.
Explanation:
This question has specifically arisen for creature cards, corruption cards, or any other card that must initiate a new chain of effects and can never be played in response to another action.
While it is true that a player cannot respond with anything that creates an attack or with a corruption card, placing an on-guard card is not the same as playing a card. There is no restriction in the rules to what cards can be placed on-guard (e.g. even resources can be placed on-guard, even if they couldn’t be played or later revealed).
As for the moment of revealing that card, we have this entry in the CRF, Turn Sequence Rulings:
In other words, since an on-guard card is considered to have been declared and resolved immediately prior to the chain of effects during which it was revealed, and therefore it is not considered to have been declared at the moment it was placed on-guard during the Movement/Hazard Phase.On-Guard Cards
A revealed on-guard card retroactively takes effect as though it were both declared and resolved immediately prior to the chain of effects during which it was revealed.
Therefore, yes, players may place a card on-guard as a response to another action during the Movement/Hazard Phase, even if that card couldn’t actually be played at that time.