Probably because guns only make small holes which wouldn’t deflate the balloon very fast. These large balloons don’t pop like a small rubber balloon.
A missile is guided, bullets have to be aimed while flying at high speeds. If it’s a ground attack aircraft you see a strafing line but in the air you’re limited to tracer rounds. Ideally you want a missile that tracks a laser dot that another aircraft paints on the balloon. If that were the case you could pull the explosive out of a missile and let it punch a large hole in the balloon and not shred it in an explosion that damages everything including the payload you want to examine.
Besides what other posters have said, these planes are designed to shoot down other aircraft from a long way away. The cannon they have is formidable but it is really only meant to be used as last ditch effort; the missiles are the real weapons. There may not be much intel to gather, anyway.
I can’t find the article now, but about 20 years ago Canadian keys tried to shoot down a balloon with bullets. The bullet holes weren’t enough to bring it down and it drifted all the way across the Atlantic.
Bullet holes just aren’t big enough to bring a balloon down, apparently.
A summary of today’s proceedings:
I was surprised too when it was reported they were used to surveil and/or interfere with the first (Chinese) Balloon.
Gary Powers’ U2 was a weather plane. Didn’t you know that? 
That’s not how they roll, admitting they were wrong. Zero Covid was the absolutely right policy, and then within a week opening up the country was absolutely the right policy. And anyone saying anything against either will get censored at best.
Sometimes I think they use 1984 as a manual or something. We were always not at war with Covid.
I figured we had learned that lesson in WWI, when the British were trying to shoot down the German Bomber Airships. They eventually figured they had to shoot repeatedly in one spot to make a hole big enough for the hydrogen to escape.
Incendiary rounds helped once air got to the hydrogen.
It did, but they didn’t work until one pilot said, “I’m gonna shoot at that one spot until something happens.”
I wonder why they didn’t just use the same strategy they used on enemy planes. Don’t aim at the aircraft; aim at the crew.
If, as is being presumed, the radar anomaly object over Montana and the UFO shot down over Lake Huron are the same, then it travelled around 1200 miles (2000 km) in a day, so moving at around 50 mph.
Compared with hot-air balloons, which fly lower at around 500-1000 feet, this appears to be fast:
The jet stream begins at 32,000 feet.
The Lake Huron UFO was traveling at about 20,000 feet (6,100 m).
Meh, I believe a 50mph wind at 20,000 feet is plausible.
Maybe it’s not out of the ordinary:
Anyone else think that the extra shoot downs are simply the result of exta vigilance or poltical pressure after the Chinese balloon? These may be more mundane objects that were simply ignored in the past.
This is one of the big questions. Objects moving at, for example, 50 mph would normally be considered too slow to be a threat, such as a plane or missile, and so not picked up and monitored by detection filters.
From earlier article:
I am unable to recall where I read it, but one thing I read said that normally the radars (or whatever) are tuned to ignore these types of things, lest they go after every sparrow and Estes model rocket.
The thinking was that we’ve now “turned up the gain” and are seeing lots of new stuff.
Which feeds into my opinion that the first one was real, and these others have been hysterics.
The USAF should dust off some P-51Ds and put them on anti-“object” duty. They had a service ceiling of 42,000 ft and seem better suiter to interception and identifying floating objects than an F-22 or F-16 zooming by at 400+ kts.
I kid of course, but it would be cool 