Massad Ayoob explains it in his blog:
Which leads us to my personal theory of why people like us find shooting so relaxing. Those who haven’t done it figure we’re burning off steam by imagining a hated boss’s face on the target as we fire. No, not at all. Because we have to focus so intently on safety with the deadly weapons we’re handling, it forces out extraneous thoughts. Mortgage situations, the economy, inimical political parties in office, all gray out into the far background when you focus on safely, accurately, and swiftly discharging firearms. It’s purging, really. I expect those who practice extreme sports such as rock-climbing are getting the same effect.