Fired at the muzzle, a representative .40 S&W load (11.7 g, FMJ, 300 m/s) reaches roughly 315 mm (12.4 inches) into drywall (gypsum). That is enough to defeat a typical barrier of this material — treat anything behind it as exposed.
About Drywall (Gypsum)
One sheet of interior drywall is ~13 mm; a wall is two sheets and a gap.