I can't see it happening with copper or copper alloys. Copper alloys are used for non-sparking tools because they don't spark. I've certainly never seen of heard of a case of one setting a fire, and we get some days where you could start a fire with a harsh look here.
Steel I'm prepared to believe, though I think you'd be unlucky, and it isn't what I'd choose for a hunting bullet. Tracer I definitely believe, because I've seen it start fires quite a number of times. I remember one shoot in particular when I was in military service, where we had repeated stoppages of play to go downrange and put the fires out.
The catalytic converter under the vehicle you drive is another potential source, and there have been a few fires here from dry grass etc around one of these.
There again AFAIK the two major sources of bushfires here are lightning and arsonists
