No need for him to be shot. I read that when he heard the news of the assassination he rode down a mountain upon a horse, in the rain, at night. Though I might be misremembered some of the details. The main point was a comment by him or another of the danger of him riding off the road or being thrown from his horse. Hell, having him tripping and laying outside at night in the rain would be bad enough. And yah, considering Czolgosz had no support before the assassination by anarchists (part of their evidence about not being involved with him was a notice they shared around warning about him being an agent provactier or police informer due to him asking around for how to get bombs and guns) having Roosevelt be assassinated... Well, I imagine it would need to be another loner, as the anarchists wouldn't try something like that, especially when facing mobs blaming them for McKinley.