Honestly, it was always so weird how they were never caught from Day 1, considering Ryuji does everything in his power to screw everybody over.

Ryuji: (gets out megaphone) GEE, I SURE DO HOPE THAT NOBODY DISCOVERS THAT WE'RE THE PHANTOM THIEVES!

Also, these are just model guns. And just as Iwai said, the melee weapons are less dangerous than a butter knife. It seems they become real weapons in the Metaverse.