Anyone who shoots at the Greys is being foolish. First of all, they have a high enough technology to be easily able to fend off such crude attacks. Secondly, even if you did shoot one of them down, they have extraordinary equanimity about their own "death", knowing that it's just the shedding of an exterior envelope, so to speak. You would think you did them some kind of lasting damage. They would not see it that way at all.