A “bullet” is a metal projectile for firing from a gun. Bullets can be very dangerous and harmful when people are hit with them. In that sense, you do want to avoid a bullet so that you're out of harm's way! So to “dodge a bullet” means to avoid a dangerous or negative situation.

Is it possible to dodge a bullet?

Regardless of your speed and finesse, no human can dodge a bullet at close range. The bullet is simply traveling too fast. Even the slowest handguns shoot a bullet at 760 miles per hour, SciAm explains. ... The bottom line: unless you're Neo from The Matrix, don't count on being able to dodge a bullet to save your life.

Where did the saying dodge a bullet come from?

The origins of this idiom date back to WWW I where soldiers talked about having sloe calls with getting shot but they managed to move out of the way before getting hit with a bullet or artillery shells. As time went on, bullets and artillery shells became harder to avoid as the became faster.