For example, a handgun, let's say, is 50 grams. (I don't actually know how much a handgun is, so I'm going a bit low on my estimate.) Whereas 50 grams of cocaine would cost at least $5000, all you can sell with one handgun, at a reasonable price, would be at most $100, or somewhere around there.
So either, it's not worth smuggling, or it's going to be insanely expensive.
And let's be real here - the people who usually threaten people with guns, are pretty much rogue crazies. Not the richest people on the block.
And most people who are willing to put in such a big amount of effort to kill someone aren't going to be stopped anyways - think about all the people that make shootouts and whatnot. They just act on the moment, they don't plan things out.