If somebody was shooting at me, the last thing I'd do is give away my position by shooting back. Rather, I would take cover and hide somewhere. Especially if it was random, since they wouldn't come looking for you. If you tried shooting back, especially if he's trained, you'd probably end up being the one who's shot.
In terms of burying him, if you got caught covering up a crime like that, you'd serve a lot of time no matter if it was your fault or not.
<edit> Incidentally, that's the wrong reason for not doing it. The better reason is that it's not the right thing to do. They almost certain have family or friends that would be wondering what happened to them, without ever getting any kind of closure. Whether or not the person is a crimina, besides being wrong to outright kill him, it's also wrong to deny everybody else the knowledge of what happened.