Honestly, this is one of those things that could be argued either way. If a circle-threshold would be broken simply by picking up a stick, then it wouldn't be a very valid defense. Vampires, fae, and the like, aren't always swift to adapt, but they aren't STUPID. Hell, just kicking dirt across it would do it under that model.
I think you have to look at it the same way you might look at some of the weird lawbreaker corner cases, such as levitating an anvil over someone and then conveniently letting go of the enchantment. You can (and people have) argue both for and against that being a violation.
Similarly, you could build a solid argument that crossing a threshold -- circle or otherwise -- requires a Mortal act of will.
My first inclination is to treat any weapon wielded by a supernatural as an extension of them for the purposes of a circle, but any secondary effects aren't their problem. So they can pick up a 2x4, but they can't swing it into the circle. They can, however, start taking out supports on the building, which is free to drop on them (gravity doesn't require an invitation).
Where this stance gets hazy is that bullets are inherently second order effects.
For this, I'd be forced to conclude that no, the circle wouldn't stop bullets.. But they wouldn't necessarily constitute a circle violation.
Wizard (or mortal, since they can do it too) gets shot, and if they go flying over the circle (or simply bleed all over it), THAT breaks it.
If they're stoic(or decently armored) enough to survive the shots, well, they've still got a circle. For what that's worth. Dudeness still has a gun, and presumably more shots.
You've bought time. Use it wisely.
[edit]I started to edit to clarify that for the whole 'swinging a stick' angle it's not that the circle blocks the stick, it's that they can't decide to violate the circle that way. That led me to have the thought that we needed to look more closely at the 'act of will' aspect.
So I just went and looked at Turn Coat, and ... well, well. I have to reverse my stance pretty fully with regards to second order effects.
“They’re spirit beings,” I said. “As long as the circle’s here, they’re staying outside it.”
“Couldn’t they just scuff dirt on it or something?”
I shook my head. “Breaking the circle isn’t just a physical process. It’s an act of choice, of will—and these things don’t have that.”
From where I sit, that kind of settles the matter, as long as we're taking current Word of God as valid on the matter.
Someone without mortal will cannot simply choose to take an action that would violate a threshold... And that would include firearms.
And if they can break down a threshold, they're probably not going to play with guns... unless they find it amusing, anyway.
