Why does the shooting range in 3 keep freezing?

You're not missing anything... It happens to me too.  It's a bug.  Something about whatever is loading behind that loading screen (the door) freezes... forcing a shut down of the Xbox and a restart of the game.  I now do a save before I try to enter the shooting range and if I freeze leaving it, I just reload that save and not worry about going in again.  If you don't have that option, the try just standing still in front of the door for a little bit before activating the door.