Sheyan knew very well that there was no such thing as an impregnable defence. Since Jones the Bug King had evolved into a form that rendered him almost immune to energy weapons, it was almost impossible for him to be immune to firearms too, considering that in essence, firearms caused physical damage. Otherwise, this guy would be invincible.
Sheyan's words were a timely reminder for K. It's not that Sheyan was smarter than K, it's just that MIB agents had always relied on energy weapons far more often than firearms, so this was a blind spot in their thought process.
Jones was furious at this moment. He lifted his claw to attack Sheyan again, forcing Sheyan to escape with a roll. However, Jones apparently had been observing Sheyan closely. He already had a certain understanding of Sheyan's dodging habits.