Except with a much higher chance of survival.
Unless you are particularly skilled in using knives and are familiar with anatomy, it is actually quite difficult to stab someone to death before any other people can intervene giving the "victim" a much greater chance of survival.
Bullets, 1 shot, pretty much anywhere in the chest area and your chances of survival are very slim indeed in comparison.
Bullets don't just penetrate, they fragment and/or break and fragment any bones in their path and ricochet around causing an awful lot more damage.
Guns are easy to conceal, and easy to use from a concealed position. Knives and other sharp objects, less so. Not to mention the proximity requirement.
I'm not anti-guns, but I'm not pro-guns either.
Something I always see in gun debates is that gun control wouldn't help. But actually the reason they are so easy to get hold of, is because there are so many of them. If you have stricter gun control, doesn't it stand to reason that anyone not obtaining it legally would have a much smaller potential supply.