User blog comment:Miskos3/Fairy Tail Chapter 334: Sin and Sacrifice, Review/@comment-5268982-20130607192927/@comment-7418318-20130607212248

But those shots were not physical objects, but some kind of magical attack.

And as Meredy proofed on Tenrou Island, there are some kinds of magic that can hurt Juvia. Gray had no way of knowing wether those particular shots are dangerous to her or not.

Just having Gray standing by while Juvia is killed and later remarking "I thought they would pass harmlessly through her" would suck even more than him dying heroically for her.