Well, technically, they're not fired directly vertical, but more often at an angle.
IIRC, a shot fired straight up, with no angle of deviation, will not likely kill you coming back down due to terminal velocity, because basically, once the energy going up dies, it's only subject to gravity coming back down
However, a bullet fired at an angle, even though it's fired "up", can kill because it would have gravity and propulsion working into the mix when coming back down.
The ‘propulsion’ bleeds off just as fast under air resistance. You can’t say air resistance counters the vertical speed and claim the horizontal speed stays lethal. That is only true for very horizontal shots and not ones that can reasonably considered to have been fired ‘into the air’.
The truth is that bullets fired with even a little horizontal component tend to remain spin stabilized even after they start back down. What kills isn’t that they still have horizontal velocity. By the time they hit the ground there isn’t enough in the horizontal vector to kill. What happens is because they remain in a point first orientation their terminal velocity is much higher. Only bullets fired almost PERFECTLY vertical will start tumbling on the way back down.