Cops don't show up to everything... The cops in most cases need to be alerted to non rampage based crimes... If you shoot a gun and someone hears it, and you let them get away, they'll call the cops. The cops don't come running for you as soon as you shoot - unless there is a cop nearby who can see/hear you.
I've been replaying GTAIV in prep for V and you can do so many things as long as you make sure there isn't too many people about and if you high tail it out of there quick.
I would love a more refined cop system, more graduated responses so it isn't just "kill that man at any cost".