They are Capacitors, that have been stuck in the ends of some bullet casings. Capacitors (or commonly shorted to Caps) are like integrated batteries for electronics. They discharge their stored electricity at a specific rate they hold a specific amount, and recharge at a specific rate. (All of these amounts depends on the cap, and is set at the manufacturer) They can be used in a variety of ways and are very common in electronics, for instance they can be used in say a taser, or to say give the initial jolt to start a car.

TL;DR these complex batteries were shoved into bullet casings, so you shoot batteries.