The moment that a weapon crosses the threshold of a building that was, moments before, weapon free, the odds of a pet dog, or a person, getting shot go from 0 to non-zero.
Personally, cops make me nervous. Whenever I'm on the subway and a pair of cops end up in the same car I'm in, my odds of catching a stray bullet go up. Before the cops got on the train there were (very likely) 0 guns in the car with me, after they got on, there are (at least) 2.
You can't get shot if there aren't any guns within range. Call it irrational, but the only place where I can be reasonably comfortable with guns is at a well managed shooting range.
Sure, I agree, I think gun ownership is weird and horrible, and I wish the US would dis-arm. You'd see a dramatic drop in completed suicide for one thing.
But even in the incredibly violent US, with poorly trained gun happy police, only 5,500 dogs are killed each year. That's way too many, but parent said "you should be afraid of this" - no, you really shouldn't. If you own a dog you should be far more worried about the risk of the dog being run over; or of the dog being over-fed (half of American dogs are overweight or obese) or of all the other far more common stuff that kills dogs.
(All these numbers are estimates, so who knows how good they are).
How many have been shot by FBI? The Puppycide documentary kickstarter guessed at one dog death every 98 minutes, which makes about 5300 a year.
That's too many, but it's not something that pet owners should be worrying about.
EDIT: (Compared to the say 1.2 million road traffic deaths of pet dogs each year in the US.)