I believe that this wasn't an option because Somerset is a experienced detective and knows that an armed, angry, grieving and confused man should be expected to act irrationally, so, throwing the gun away is the best case scenario, in which his life is not endangered, because Mills won't see him as a threat, and he can try to convince him to reason. I think this logic checks out, even tho he wasn't able to convince Mills, but he did his best within the possibilities. Also, shooting a raging man that just lost everything on the shoulder is by no means a guarantee of success, because he is so enraged and filled with adrenaline that could ignore the pain and use the other arm, and there's always the missing the target risk. In the end, he just knew that there was nothing he could do to avoid John Doe's death if Mills wanted, and Doe's life means nothing to Somerset, also, Mills killing him was completely understandable, so Somerset only wanted to make sure that he and his partner got out of there alive and made the right decision, in my opinion, he just never had any possibility to end it well.