There shouldn't be any reason not to be able to detect it. If it really is not possible to detect gunshots, at the very least make it so that it detects /rob, or personal vehicle thefts.
Mike, please consider adding this quality of life update. Many other players (especially newbies, it'll really help them say while doing a mission) like a good ol' chilling session ingame and then it gets all ruined by a guy robbing or doing whatever to you and you'd like that sweet revenge without cops on your tail, imagine trying to protect your own property from a robbery but you get wanted levels instead. There's just no negative towards adding this.