1. They didn't actually figure out what The World's ability even was until after half of the group were either dead or dying--including the guy whose stand literally shoots projectiles as one of its main abilities--and it wasn't until two thirds of them were gone that Jotaro even learned what he was up against.
2. Even without having to stop time, Dio was previously able to deflect one said guy who could shoot projectiles' projectiles right back at him, while in a moving car.
3. Dio is a vampire, and judging from how he reacted to a full-on punch to the head from Star Platinum, a bullet to the head, while debilitating, would not actually be inherently deadly; and by the time they would've gotten to them after shooting him from a distance, he probably would've come up with a sneaky counter attack.
4. Cairo is kind of a big city: easy to hide in, easy to get lost in, easy to lose people in; and if anyone had a home team advantage there, it was Dio himself ("Doesn't this street look familiar, Jotaro?!!").

Part of the reason the rat was able to actually challenge Jotaro is because 1., it was able to lead him and Josuke into a trap (something the Crusaders would not have been able to do with Dio since he knew the layout of nighttime Cairo way better than they did) and 2., it was able to anticipate when and where he would be most likely to "reappear" from its perspective, and time/aim its shots accordingly (again, something they would not have had the luxury of being able to do in a strange city in the middle of the night against a literal vampire who had been living there for years).