A bullet should be burnt down into ashes in the air itself if it misses the target, so that the traces can be erased.
How can I make it possible?
I can think about two possible solutions:
Catching fire from air resistance: Your bullet heats up during flight (possibly using a special kind of coating), which causes it to burst into fire after a given maximum distance. Additionally the bullet needs to explode/burst into flames if it strikes solid material (otherwise if you miss and hit a wall the bullet will still be there). The problem with such a type of bullet is that it might be less effective if your target is close to the maximum distance of the bullet, since the heat (maybe already burning) bullet isn't as rigid anymore.
'Smart' bullet, exploding at a set distance/time: This solution involves more tech, but smart bullets are already a thing so it's probably feasible. You program a timer (or distance detection mechanism) in the bullet that can be remotely set (by the 'smart' gun counter part) to explode exactly after it arrived at the target. As a bonus you get exploding bullets after you hit the target.
I don't know what happens if you miss, but have you looked at shotgun flammable ammunition like Dragon's Breath? They use Zirconium that ignites at lower temperatures as it's losing mass (as it travels further).
There is a Youtube channel, Taofledermaus, where they shoot experimental shotgun slugs. I remember they had astonishing effects with slugs made of frozen sausages, pykrete and even liquified gummy bears. Once they also shot micro-steel wax slugs, basically flechette ammunition so small nobody would find a bullet in case of miss.
What about a bullet made of super-cooled gas that sublimates at ambient air temp? The cartridge is stored at super-cold temps in the magazine and the round is accelerated by an electromagnetic field or has a thermal buffer between the cold round and the expanding hot gasses of a normal gunpowder discharge. The cold round will immediately start to heat up and sublimate due to friction with the air, but it would have enough mass to last for a decent distance. It would eventually sublimate entirely if it hits a target or misses. Depending on the range you want, you could have it sublimate while in flight but of course this would depend on the backdrop around the target.
A regular metal bullet that explodes if it misses would send out a cloud of shrapnel. The frozen gas bullet could also explode if it misses, but since this would create a shower of frozen gas that would heat up and sublimate almost immediately, the shrapnel area of effect would be minimal, nothing would be left but the detonation mechanism and timer (which might also be made from super cooled gas components that would sublimate at room temp).
One simple answer is to make your bullets from ice. Keep them in a cooler until ready to use. If they hit something hard, they shatter. As long as the temperature is above freezing, they'll melt. Best of all, even if one is recovered, there's no way to trace it.