I own a hand crossbow. It goes solidly into the "dangerous toy" category, just like most of my throwing knives. (My throwing Ka-Bar clone is the obvious exception.)

You just can't get the oomph out of them, and the accuracy is sketchy to boot. As for recovering the bolts, the use a plastic bolt with a press-fitted aluminum tip of iffy pointiness- you miss, it will go into wood about the depth of the tip which will stay in the wood. Even the aluminum shafted ones are press fitted onto a plastic tail end. If someone was to make one that throws in the 200fps range, maybe even compound in design, and used an aluminum or fiber shaft that could use a steel broadhead, maybe.

Honestly, spend a little more, and get yourself a good .20 or .22 caliber air rifle (pump or spring, not CO2) if you are looking for something like this. They can take small rodents and birds, and you can pack enough pellets into a 20oz soda bottle to last a LONG time.

Or a real crossbow, or a bow. Keep in mind that a crossbow can have some of the same possession issues, and even worse, than a firearm, depending on where you are. And the social issues are much greater than if your neighbors see you with a hunter's bow, and the bow is generally easier to find arrows for. Yes, a bow does take more strength to use, but not by much, and the degree of skill needed to use either is similiar. And greater than the air rifle.