Being curious about the happenings around is the best way to learn physics...keep it up.

 

now bout the question,

 

When you solve questions of free fall, u generally neglect air resistance..

 

the air resistance is a function of velocity of the moving bullet, (generally proportional to first, or second power of v). As the bullet has really high vel, it will encounter a very high resistance.. and will slow down sooner than expected in free fall... so it will attain lesser height.... and hence when it falls down.. it is falling down, it attains much less vel, so has much less momentum.. hence less harmful. also, the resistance slows it further down as it falls down.

 

secondly, large amount of heat is generated (can u gess where this heat comes from... try to relate with energy conservation) and this may melt or break or deform... etc... the bullet.