What is momentum?
The momentum of a moving object is a measure of how hard it is to stop that object's motion.
How hard is it to catch?
Catching a pen your friend throws to you is very easy. But if someone threw an object of very large mass at you instead — a shot put, say — catching it would not be easy at all.
And yet, if that same shot put were handed to you rather than thrown, taking it would be no trouble. So mass is not the only thing that matters.
The bullet
A bullet is an object of very small mass, easily caught in the hand.
But once it has been fired from a gun, catching and stopping it is not even worth thinking about. What changed was not the mass but the velocity.
So
The difficulty of stopping an object's motion depends on both factors — mass and velocity.
Large mass but zero velocity — there is nothing to stop. Large velocity but a tiny mass — easy to stop. Only when both are large does it become dangerous.