My Uncle Don, when he was young, fired a 12 gauge load in the air celebrating the 4th of July once. Two houses down, a police officer was getting done off of a long shift and pulled in to his driveway. He got out of the car, and then he and his car were sprinkled with lead shot. He looked at my Uncle, who was still holding the shotgun in the driveway, and had quite the exchange of words about firing a 12 gauge in the air in town.
That was back in the 70's. Today? They'd haul your butt away and lock you up.
Inertia plays a role. Birdshot isn't bad, but the heavier the bullet the worse it'll hurt coming down.. I sure wouldn't want to catch a 1oz slug in the noggin. 00 might sting a little, too.
I've often wondered about the millions of rounds of AA fire that were launched in the air during WWII. Or 50 BMG, 8x57, or 30mm cannon fire from aircraft. It's all gotta come down somewhere. The AA fire especially though; which was concentrated around major metropolitan areas.
Insignificant compared to the bombs raining down, but it stands to reason that quite a few people were probably injured from friendly fire in WWII off AA projectiles coming back down to earth.