I'm not sure this is necessarily true.
I suspect that if you check statistics on a per capita number of deaths involving firearms, you would see less populated, more rural states like Alaska, Montana, the Dakotas, etc..., lead the way, and they also have less restrictive gun control laws, generally. But you have one shooting in North Dakota where 5 people get killed, that state can move up the charts from the mid-30's to the top 5 simply because there aren't any people in the state. You also have to be careful on those numbers as to whether they include accidental gun deaths. There are certainly many more of those in states where more hunting occurs.
The states that consistently receive high marks for strict gun control are places like California, New York, Connecticut, Massachusetts, Illinois, Pennsylvania, etc... But their gun control laws certainly didn't prevent Sandy Hook, San Bernardino or similar high profile shootings from occurring within their borders.