I don’t know many folk who have shotgusns, but the idea that one might be useful to deal with an unidentified sound in the next room is SCARY. Have you ever tried to shoot a mouse with a shotgun ? (let alone do so indoors, where the damage would be horific)
I think you would need to be a little curious about what sort of sound before doing anything. Maybe stand and listen for a moment, then think before acting. And THAT surely is what the original slogan is really saying.