It doesn't have enough velocity to escape Earth's gravity. An object must have a speed of about 40,200 km/h at the surface of the Earth to break free of the pull of gravity. Even the most powerful rifle has a muzzle velocity (the speed of the bullet as it leaves the end of the gun) of about 3,000 km/h so this is far short of the requirement.
On its way back the bullet probably will not disintegrate because it will not have gone high enough, and on re-entry it will not reach speeds great enough to cause a sufficient amount of friction to burn up. The bullet will hit the ground, and hopefully not a person.