Bullets can go through walls.
As some have noted, bullets can be selected that are less likely to do so than are others.
Accusations of "rigged tests" are confusing. The 5.56 vs 9mm vs 12ga
a few posters mentioned has been discussed on TFL many a time. This is the first time I have seen people suggest results were falsified.
Note that the 5.56 used in that test was not penetrator core type ammo, and that it was traveling near max velocity in the test, so it disintegrated at wall impact.