At best, they were looking for the weapon they thought was still on him so they could secure it to give him medical aid.
At worst, and I what I think is most likely, they realized that something had gone very wrong on their part and they were panicking, hoping the gun was underneath him so they could say “see, he had a gun pulled out, we were justified!”
IMO
Edit to prevent misunderstanding:
It’s clear that the gun was removed from Alex before they shot him, I was just responding to what I thought was going through the agents’ minds when they were doing that.