In my drug war years, a thug fired a 9mm from the street, thru my front picture window. The bullet then passed through sheer curtains, then thicker drapes, then crossed the room, tumbling, through the sheetrock. On the other side of that wall, it passed through a closet, making a hole in one of my suit sleeves. It then passed through the plywood skin of a sliding closet door. It did not exit the door. I patched the holes in the door skin and sheetrock and painted them. The bullet, is still in that sliding closet door.
Yes, a bullet will penetrate a hanging blanket. Probably be deflected, tumbling, who knows where.
On the other hand, friends of mine and I used to make model rockets. They would come down on a plastic fabric parachute. Sometimes, they would ride a thermal, and we would attempt to shoot them down, using 22 rifles. When we hit a parachute, it would fold up, catching the bullet, but would open again, land, later, with no bullet holes. Some had to be shot repeatedly, to bring them down, or at least out of the thermal. No bullet holes, in any of them, regardless of the number of hits. Had a bullet hole in the rocket, now and then. :-[
Ray D