He never stopped mid-song.
It was a point of pride for him. No matter how badly the patrons were behaving, his hands didn't leave the keys until the song was done.
Drinks thrown in his face, brawling idiots rolling across his piano, or even worse, drunks thinking they had a voice or ability matching his own, he could keep his cool and get to the end of the song no matter what.
This could have ended badly for him, had someone wanted to ruin his record deliberately.
The gun wasn't aimed at him though, and he was playing 4'33" anyway.