I've seen skeet loads (nines) rip right through a drywall wall (two sheets, one on each side of the stud).

However, from more than ten feet, if you're open bore, or at least skeet choked, it has little effect, on the other side.

However, if that was within a full choked barrel ... it'll pass through the room on the other side (four sheets of 1/2 inch rock).

Safer than a sidearm for certain, but no panacea.