Bullet + Physic Behavior dont work well together

Like in my subject written.

If i make a bullet and physic behavior on an object it doesnt work well. Sometimes the bullet goes through objects and it doesnt look realistic. How to fix that?

How to fix that? Don't do it

Try working your way around it, physics will not only slow your game as it is not necessary to do most of the movements. What are you trying to achieve with this combination? Perhaps there is another way to do it.