Depending on how far you are, it can explode. It all depends on the bullet you are shooting and the distance you are at. The bullet will penetrate the armor of the grenade causing the explosive to go off making the explosion kind of how a normal grenade works. So yes it will explode if you shoot it.
Will a grenade explode in a fire?
Chemical and gas grenades burn or release a gas, and do not explode.
Do grenades have bullets in them?
A special crimped blank cartridge or wooden bullet is used to fire the grenades. ... A 22mm grenade can range from powerful anti-tank rounds such as the M9 rifle grenade, to simple finned tubes with a fragmentation hand grenade attached to the end such as the M1 Grenade Adapter.