Bah, pish-posh and balderdash I say!
Guns in CoC are often more dangerous to YOU. Especially when nasty Sanity checks are made and blown.
In our 1920's England campaign, one of our investigators was standing just behind the MP (Member of Parlaiment) that we were "supposed to be" protecting. He failed his Sanity check (badly) when the flying snake thingy (sorry, can't remember what it was) showed up. Then he rolled '00' (old percentile system) and critically fumbled the gun, unloading BOTH barrels of an Elephant Gun right into the MP's midsection.
oops.
Of course, in another adventure, we killed Dagon. By accident. Without firearms or explosives. Boy howdy, does that make you a mythic hero in short order!
E.L. Howard, London Solicitor
Currently in Cardiff, investigating Voodoun Grave Robbing, August 1924