He's been shot, he's lot tons of blood and could easily die if he doesn't treat his wounds. He collapses there in the trash heap initially intending to wait for Alfred to pick him up.
But then he finds a gun. And another. And another. Gun after gun he just keeps picking them up again and again, unable to stop, working himself into a frenzy. Why? For each gun he confiscates, that's another gun that won't be used to kill. That won't harm another.
And finally Alfred arrives. He reaches out his hand to Bruce, offering him help and to relieve him of his pain. But Bruce can't reach out for Alfred's hands because they're still holding onto the guns. And he can't drop them. Even for his own health.