this is a game. I don't think programmers ever think to include bullets into the physics engine that much.
I would laugh at a bunch of guys cowering behind a wall when all of a sudden six portals pop open with a barrage of rocket fire flying at the poor guys from behind.
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You are correct. Often times bullets are hitscan, meaning they'll immediately hit their target. Given that the only way to get the bullets moving indefinitely is to stand perfectly in between them, you'll end up shooting yourself. Even if the bullets aren't quite hitscan, they'll probably still move fast enough for you to not get out of the way.
In other news, I remember making infinite rocket loop teleporters with Duke3D's build engine.