In real life, because if he didn't the actor might get hurt.
Storyline wise, having gun thrown at him might be taken as an insult.
Just like you would duck from a water balloon, despite the fact it not going to hurt you.
Loeb and McGuinness did a spin on this in one of their early issues where Superman was shot at with machine guns (and caught the bullets as they bounced off him). After the crooks wasted their ammo, they threw their guns at his face...and he stepped out of the way, scowling. The impression a lot of readers got from that was "Do you really think that's going to hurt me after shooting me failed?"
So I'm going to have to side with the insult theory.