No, seriously, this is a thing that happened.
The bullet apparently passed straight through Brentz' leg, which sounds nasty but is actually a positive in this sort of situation. It doesn't sound like there's any serious structural damage (save, y'know, the hole in his leg), and it shouldn't keep him down for too long.
Red Sox general manager Ben Cherington says that the incident took place two weeks ago when Brentz was cleaning his gun at home, so at least this isn't a Plaxico Burress sort of incident which could hold legal consequences. And, while it may bring Brentz' gun cleaning technique into question, this is probably the least concerning way for a player to suffer a gunshot wound when it comes to things like judgement.
Still, even if Brentz does make it into a late spring training game or two (Cherington suggested that was possible), he likely won't be available in the early going should one of Boston's starters suffer an injury leaving the team in need of a full-time outfielder. With the team lacking in depth at the position, this could force their hand when it comes to giving Ryan Sweeney a roster spot or signing another depth player.