Cohen, best known for his role of spoof black rapper, Ali G, was in bed when the bullet passed through the wall from the next door bedroom.
Israeli police later found the bodies of two men in the adjacent room who had committed suicide.
Cohen is in Israel on a private visit and has not spoken to the press about the incident.
Army rifle
Cohen only realised something untoward had happened when he got up on Monday in Tel Aviv's David Intercontinental hotel and noticed a hole in the wall and another in his bedroom window.
He then contacted hotel security, who broke down the neighbouring bedroom door and discovered the bodies of two men.
Police say the dead men were cousins. One was a soldier and they had used his rifle to shoot themselves.
They had checked into the hotel on Sunday evening, paying $680 in advance.
They had written notes to their families asking for forgiveness.
It is not clear why they took their own lives. Israeli press reports suggest it was because of problems with their girlfriends.
Cohen told the hotel management he thought he had heard a shot during the night, but he went back to sleep.
Racism accusations
Cohen has become one of Britain's best known comedians for his role as Ali G, decked out in garish clothing and heavy gold jewellery.
He has fooled politicians and other prominent public figures into taking part in what they thought were genuine interviews where he asked them bizarre and ludicrous questions.
Critics have accused Cohen, a white Jew, of racism.
But his defenders say he parodies those who try unsuccessfully to adopt black street culture.