The bottom of the rear engine bay on a R44 is open - no panel.
OK, understood, but from the photo it looks like the trajectory was sideways and downwards. I would have thought for a bullet to come in from below and exit like that, and leaving other than a round hole it would have hit something elsewhere first, leaving some evidence in the bay.
I would rather suspect my first guess, or a screw came out and got pinged out at speed by a rapidly rotating component.