Must have been a Sympathetic reaction. Sort of like when men have Morning Sickness or Cramps.
Seriously though, a bullet carries alot of energy with it. If it can shed most of that energy while inside a living thing, the energy is passed off as 'shock' which has the ability to stop the heart from pumping, along with creating massive internal hemorage. It is the amount of water in living things that makes a bullet wound so horrendous. Too fast of a bullet and most of the energy is still intact after the bullet has passed through.
I suppose that if two deer were standing right next to each other, and touching, the shock could be transfered to the second animal, with no sign of an entrance wound. It's a stretch, but I guess it COULD happen.
It doesnt take much physical shock to stop a heart from beating.