A gun can kill a demon if it doesn't kill you first. Which is a damn good thing, since holy water's about the only common human magic left and even that's not easy to get your hands on.

And of course, we're only talking about the ones that can just pop up here. There's a reason Lady had to bow out before the main event. But for your run of the mill things that go bump in the night, a bullet to the head works just as well as a demonic sword to the face.