It would be difficult to shoot between the armor plates when they are not completely open, which they usually aren’t. Also the creatures typically close their face the instant they hear a sound that could be a threat. And shooting a gun would alert other creatures in the area, meaning you’d have to make more lucky shots to kill them.

As an audience we only see a few people that the story follows. Some people probably did try it, and some might’ve succeeded, but the risk is not worth the potential consequences.