Do you have a citation for this? I'd expect, as with all physics questions, there's a caveat.
In this case, "... over sufficiently small distances."
If you fire, say, the main guns of a battleship "over the horizon" (from your initial vantage point), I'd strongly suspect this doesn't hold.
In order for it to, the gravitational force vector, integrated over flight path, would have to perfectly counter the curvature of the Earth... which doesn't seem like it would line up so neatly.
In reality, air friction and maximum muzzle velocities probably render most of these concerns moot for practical purposes.