I started a fire once shooting too.
'Cept I was shooting a short-barreled blackpowder rifle (maybe a 20" barrel?) in the prone position. The bullet didn't catch anything on fire, but the leftover powder from the 80-grain charge I had in the barrel sure did. Stomped it out pretty quick.
I can see how powder might start fires, or even hot brass, but bullets made of soft lead? Give me a break.