Interesting, he did so at least once:

In one of the episodes we watched the other day, at the start of the show he rescues an Army General. He decoys the two “thugs” into the kitchen (using a bunch of pans on a block of ice which he had sitting next to a toaster oven) and drags the General who was handcuffed to the chair out the door. McGyver trips the two when they went after them and clearly pick s up the gun of one of the kidnapers and holds them at bay.

Although, latter he fails to pick up the weapon of another pursuer he renders unconscious.

Pete