Cleveland Indians (search) pitcher was struck in the leg by a bullet that pierced the team's bus, but was not seriously hurt -- perhaps because of the knee-high white cheerleader boots he was wearing as part of a hazing of rookies.

Team trainers removed the bullet from Kyle Denney's (search) right calf. Denney, 27, was treated at a hospital, stayed Wednesday night at a Kansas City hotel, and rejoined the team Thursday in Minneapolis.

"As soon as the skin heals, it should be fine," he said at a news conference.

The shooting occurred on the highway as the Indians headed to the Kansas City airport following their three-game sweep of the Kansas City Royals (search).

All of Cleveland's rookies were wearing cheerleader outfits as part of an annual ritual, team spokesman Bart Swain said. Denney was dressed as a University of Southern California cheerleader in a red dress, blond wig and the white boots.

Swain said the boots may have prevented the bullet from lodging deeply into his leg.

On the bus, "they didn't really know what it was, at first," Swain said. "Once they found out Kyle had been hit, there was some panic. But he was so calm through the ordeal."

Police said they had no suspects and it was not known if the team's bus was the intended target.

"It could have come from another vehicle, from the frontage road there; it could have come from anywhere," Sgt. Tony Sanders said. "The fact that we haven't found someone makes it all the more serious. It could be someone who would want to do it again."