[@Wraithblade6] And now, we apply this scene to a 40k standard.

A tyranid shoots a high velocity borer beetle at you from a standard fleshborer. It collides with your arm traveling at bullet velocity, and uses the force of the impact to punch through your arm, lodge itself in your sternum, and then bores its way through to the other side, eating everything in its path. This occurs in approximately five seconds, the first .02 of which is how long you have to react to seeing the gaunt aiming at you. Because, once that shot is in the air, you've officially lost any chance of getting out of the way.

Now, a Space Marine in the same situation... exact same rules apply, except he's more chewy and would likely be wearing denser armor. Keeping in mind, of course, that fleshborer beetles are more than capable of chewing their way through flak armor, if it hit his flesh, reports have it doing damage on par with a bolter round.

Now, let's put an eldar harlequin in this same scenario... The sound of the 'gun' firing alerts him to the danger. He can turn his head and see the shot coming mid-flight, and then pirouettes so hard he dodges the bug flying at him going mach 2, because magic space-elves can do that somehow. It makes absolutely no sense, but that's what the fluff says they are capable of. That is, literally, the only explanation for how they can dodge bullets, because those are the things you need to do to dodge a bullet.