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With an arrow you have a shaft and fetching protruding from the object. But a bullet will mostly be embedded into target materials. so finding and collecting would be a lot harder.
all in all if you were to try finding shot bullets it would be safe to say any misses are gone unless contained in building or something and bullets that hit are the only ones collectable.
Plus even if you were to find said bullet it would not be usable till it was reshaped into a ball. Unless your packing bullets other than lead like adamantium then i would think it be worth the time.