Continuity mistake: During Paris and Gabriel's fight in the train, the dead guy behind has his eyes open all the time except for a brief shot where they are closed. A shot later they're open again.
Continuity mistake: During the Venice scenes, Ethan's hair length is always the same, except for scene number 1 where he and the team are on a boat arriving in Venice, and scene number 3 where he and Ilsa are on a balcony. In both these scenes, his hair is very short.
Revealing mistake: While inside the tunnel in Rome, before the yellow Fiat makes a U-turn multiple skid marks from previous takes are visible. Though one might pressume that the marks were already there, they are at the same spot and have the same pattern as the skid marks that the cars make seconds later.
Answer: Maybe they didn't have any guns at that point.