My dogs will do that, too. Taku, my Jack Russell, loves to go with me when I shoot my bow in the yard. After I loose an arrow, he runs to the target and barks at it. Cash, my lab/wiemeraner, is an arrow-finding machine. He's also an excellent squirrel dog. Shelby, my fat yellow lab, moves out of the way when I shoot, but I take her in the woods the most often. She's quiet and will sit and stay when I need her to.
Shelby will stay in the yard, if I tell her to, but I have to leave the other two inside. They'd track me to the ends of the earth if they got out. Once, I was take a walk around the woods and the neighborhood behind us. It's about a 2 mile loop. I had gone about a mile and was in a little patch of woods when I heard something coming up behind me. It was Cash and Taku. The had escaped when my wife opened the door. They were so proud to have found me. Pretty funny.