You could. This type of gun is not intended primarily for use against people (although this particular gun might be modified to serve the role of a sniper rifle). It's for shooting aircraft and lightly armored vehicles. By that I don't mean cars; I mean armored personnel carriers. The bullets would go right through a building's walls.

I can't quickly find a photo of this gun's 12.7 mm bullet doing its thing, but here's what the very similar American 50 cal bullet does to six-inch-thick concrete: