[Alan is explaining to Sarah why Van Pelt is chasing him.]
Sarah: Well, have you ever thought about sitting down and talking about your differences?
Alan: What are you, crazy? The man has a gun.
Sarah: Don't ever call me crazy, Alan. Ever. Because everyone in this town has been calling me crazy ever since I told the cops you were sucked into a board game.
Sarah Whittle: A little rain never hurt anybody.
Alan Parrish: Yeah, but a lot can kill ya.
Answer: The game is essentially "resetting reality" back to the point Alan was first sucked into the game. So it is undoing everything that has been done - including taking away the gun and bullets Van Pelt had purchased.