Rats (at least the NYC variety that are the size of raccoons) would catch the bullets in their teeth, chew them up and use the resulting metal strands to line their nests.
Well, okay, that might be a little bit of an exaggeration, but a .25 isn't going to put one down for the count anytime soon.
They might work on a small, aged and feeble mouse - hence the name "mousegun."
Small rat?