What would you do if you heard these sounds outside your house?

I was sitting at my desk and I hear feet walking around and whispering under my windows and then some person say, "SHH!", more feet walking and more whispering, and "SHH!" again. So I pulled on my boots and walk very loud across the floor to the front of the house and turn on the light and then I hear no more sounds. Now I do not know if they are gone or if they are just being more silent. Should I go out there or call police or what? I have a gun should I go out and look and keep it on me?