That's what the old TV Westerns would have you believe. And even if they miss a major vessel, you stand to be seriously crippled.
If it just went through the deltoid muscle, then no issues, although those muscles are a very small target on most people. If it goes through what is conventionally defined as "the shoulder", if you look carefully at those wounds in the movies, you will note that it's actually more like the upper chest. Those wounds can be bad news.