Ok until we see Thor actually getting hurt by bullets, let's not come to faulty assumptions.
He is obviously stronger and more durable than Loki who seemed bullet proof. Although the Jet's guns are probably a lot more powerful than the ones Loki tanked.
Anyway Thor's tanked hits from the Hulk. I'm sure Hulk's punches are harder than a gun!
Remember even Wonder Woman deflects bullets, even though she's almost as strong as Superman. So could just be that stupid backward durability thing (assuming those bullets would have hurt him, which we don't know).