Some people might have thought about it but it would not have been a good idea. If people at the concert started shooting at a distant hotel and those bullets reached the hotel they could have passed through hotel windows and killed or injured more people. The police might have taken out anyone that did that. Not too good of an idea.
A number of the audience members entered unlocked police cars and tried to get shotguns out of the rack. I’m not sure it was to return fire, though.