We've seen the Dai Li use super-fast chunks of earth in a manner similar to bullets. We've seen flamethrowers (both mechanical and literal). We've seen a GIANT SPIRIT WEAPON that is, effectively, an atomic cannon. And, of course, we've seen general Bending, scaled down or not, and more importantly, METALBENDING. As in, stopping bullets in mid-air?
Let's face it, while the potential is there, nobody, not even the Fire Nation during the Hundred Year War, ever thought of building a gun, because a) it would even the playing field too much (in war and in peace), and b) there are already too many equivalent or superior methods of attack. Guns, very simply, are not a part of the Avatar world, regardless of whether it's a kid's show or not.