Your lungs help you to breathe and without the lungs functioning properly due to being shot in the lungs then your breathing will get worse and eventually stop if you don't get medical treatment.
Your brain and body will then suffer the effects of low oxygen (hypoxia) and you'll go unconscious as a result of being shot in the lung and being unable to breathe.
If not treated in time you will die soon due to the lack of oxygen so getting shot in the lung can be deadly pretty quickly.
Just like when you have a collapsed lung you can die due to a lack of oxygen to the brain.
If you do live you could also have brain damage due to the lack of oxygen.
You won't always die from being shot in the lung but sometimes you will if you don't get medical treatment right away.