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They lost the number.
Mission failed.
He knew Finch wouldn't punish him for his failure, would more likely rather worry about him blaming and punishing himself in self-guilt for not being there to save the number in time (he did feel he deserved it).
His last employer, CIA, was not cruel in punishing their agents when things went sideways either: an asset, if haven't outlived its usefulness, would not get retired prematurely just for a mistake. Reese seldom fail. On the very few ones he did, when he finally got himself out and reported back to base, he even received fairly quick treatment for his wounds. Operated when he was fully conscious, of course; He did not earn the rights to anesthetics; he failed the mission, after all.
Then it would be the punishment. The Agency wanted him to be back to work soon, so they would not go too hard on him. A few weeks, and he would recover enough, ready for the next job.
He no longer works for the CIA.
Over the dizziness of his blood loss, he heard Finch's distant voice. Mr Reese, just hold on for a little longer. I already called the doctor and he will be there in a minute.
Oh Finch. He thought. Finch would always have his back and never leave him behind, bleeding to death at some unknown corner.
He braced himself for the conscious operation. No, Finch's not CIA; he would never seek to punish him. But that's no punishment, rather just an inevitable result of a mission gone wrong, like one would be hungry if failed to eat, dead if caught a bullet. He accepted it as a natural course of life.
He nodded, and smiled a weak smile. Just two bullet wounds. It's not going to be the worst pain he suffered. He will be fine.