Three men forced their way to where security officers were refilling a cash machine at SK Supermarkets, Asbury Road, Nuneaton, on Saturday morning.
They fled empty-handed but the victim followed and smashed the back window of a black car with a fourth man inside.
One of the masked robbers fired several shots as the group drove away.
The injured man was taken to the University Hospital, Coventry, where he had an operation to remove a bullet from his leg.
But his injuries are not life-threatening, police said.
One of the group was carrying a gun and another had a crowbar during the incident, which happened at about 1000 BST.
Remove bullet
The car sped off toward Heath End Road.
A black Saab car was found burned out in nearby Wisteria Drive in the Bermuda Village area of Nuneaton a short time later.
Four men were seen leaving the Saab and drove off in a grey or silver Audi car. The Saab had previously been stolen in Birmingham.
Police are appealing for anybody who saw anything suspicious in the area of the Arbury Road or who saw the silver Audi being parked in Wisteria Drive just before 1000 BST, or who saw the four men in the area after the black Saab was set on fire.
Anyone with information is asked to contact Nuneaton CID or Crimestoppers.
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