Denney was shot in the calf and apparently the go-go boots he was wearing helped him escape serious injury.

Due to the boot, the bullet did not go very deep and was immediately removed by Indians trainers.

From nbcactionnews.com:

Police spokesman Darin Snapp said the team arrived at the airport before calling police. Swain said the Indians waited because trainer Lonnie Soloff was able to dislodge the bullet. Another police spokesman, Sgt. Tony Sanders, said people on the bus reported hearing ``what sounded like a firecracker'' and then realized that it was a gunshot. He said the investigation was hampered a bit by the fact that the bus continued on to the airport before police were called. He appealed for calls from anyone who was in the area at the time. ``We are doing our best to find out what happened, and we think somebody might have seen something,'' Sanders said. Sanders said later that a tip had led to identification of a possible suspect, who was not in custody.

Outfit Worn by Pitcher as Hazing Ritual May Have Slowed Bullet

By Andres Ybarra
Associated Press
Friday, October 1, 2004; Page D01

MINNEAPOLIS, Sept. 30 -- Cleveland Indians pitcher Kyle Denney won't complain about having to dress like a cheerleader again. The white go-go boots that went with the outfit might have prevented a bullet from seriously injuring his leg.

The rookie was hit in the right calf by a shot that came through the side of the Indians' bus in Kansas City late Wednesday as the team traveled to the airport after a victory over the Royals. The bullet caused only a flesh wound, probably because of the tough leather of the knee-high boot, Denney and his trainers said.
....

The Triple-A Buffalo Bisons announced that Denney is resting comfortably at his home in Buffalo.

Bisons athletic trainer Todd Tomczyk said Denney, a former University of Oklahoma pitcher, was experiencing dizziness and nausea on Monday. Tomczyk said tests revealed the starter had a ruptured ear drum and a cerebral contusion, which is more severe than a concussion. The contusion was caused by the brain jarring against the skull.

Joe in Philly:
More bad luck for Kyle Denney -- he was hit in the head by a line drive in a minor league game and suffered a fractured skull. He was hospitalized for a couple of days.