When he asked for an emergency, shooting a bystander was not what he had in mind. Sherlock flinches at the sound faintly but chaos does erupt and it does allow for a getaway under the guise of chasing after the criminal.
Or, he does chase him. That part isn't much of a show.
Sherlock follows him for a few blocks, wondering what the man's plan will be from here. But then, he is a criminal and he likely knows exactly what to do. Sherlock is simply mildly fascinated. Maybe enough that he won't tip off Lestrade or anyone just to see how it plays out.