I shot 2 zombies in their heads. They died instantly but I couldn't get my bolts back. I saw them in their heads but I couldn't take them out and looking into their inventory showed me there are no bolts in it.

I shot another bolt into a wall which I saw stuck there but also couldn't take back.

Another person now told me he shot 2 bolts into the body of a zombie which killed him. He also couldn't take back the bolts.

So it seems the bolts are not working as intended as you can't pick them up again.