I'm actually new here, but I CCW anytime the following conditions are met:
1) I'm on my own property
2) My pants are on
For that reason, I've given some thought to the matter. I haven't found any indication that you are legally obligated to report a ND. Deliberate or not, it may be considered a crime and it is generally in the interest of your 5th amendment rights to keep your mouth shut.
That said, first you would need to determine the terminal resting place. If there is evidence that the bullet left your property and/or had the potential to harm another person, I would advise calling 911 to explain that you had an ACCIDENTAL DISCHARGE and that while you had absolutely no intention of it happening, you are concerned with where the bullet ended up.
If on the other hand, the backstop contained the bullet (such as a dry fire backstop) then I would keep my mouth shut. Neighbors will most likely pass a single shot off as a fire cracker. Even if they call 911 to report a possible shot fired, the most can do is circle around the area looking for anything that seems out of place.