I wouldn’t say anything, but the neighbors might report the shot. If it happens que sera sera.
Actually happened down the street from me a while back in the 'burbs of Harris County when one neighbor shot a non-cougar nuisance with a shotgun and his next door neighbor called the sheriff after stepping out on his back porch to see what the noise was about.
Neighbor who took the shot wasn't home when the sheriff arrived, off disposing of the interloper.
Sheriff knocked on my door to ask if I heard or saw anything. I didn't and even if I would have I didn't. Have a nice day.
The rest of the story came back through the neighbor who took the shot after talking to the neighbor who called it in.
Said the sheriff asked the reporting neighbor if he knew who shot? Nope.
Was he shot at? Nope.
Was anybody shot at? Don't think so, nope.
Was anybody hurt? Nope.
OK, well thanks for calling us. Have a nice day.