"... at the time?", at the time of what exactly?
People went inside(or back to their business) BEFORE they learnt of the shooting, so could he have been outside and then was actually inside when he learnt of it? For some of us, yes of course.
So its, "There's been a shooting Lee" and where was he when he heard that? Inside. That's the beginning of it for him, perhaps and that explains his response to a question during a brief conversation we are not fully privy to.
Can we even say he knew it had happened on Elm St itself before these vultures started barraging him?
Also, it's a wee bit rich throwing quotes out from someone you already think is a liar, loner, wife beater and #1 scumbag of all time for killing your hero(no offence).