Armed police and the National Police Air Service Helicopter searched the area.
A Merseyside Police spokesperson said: "We can confirm that armed response officers were called to Moor Lane, Ainsdale, at 4.35pm today (Saturday, 21 May) following a report of three males with a gun (possibly an airgun).
"The armed officers attended and searched the area, but were unable to trace the males, who are believed to be between 15 and 19 years."
If you have any information, please contact Merseyside Police directly via @MerPolCC on Twitter, 'Merseyside Police Contact Centre' on Facebook, or by calling 101, with reference 0718 of 21 May.
"Alternatively, call the independent charity Crimestoppers anonymously on 0800 555 111 or report online at https://crimestoppers-uk.org/give-information/forms/give-information-anonymously. Always call 999 if a crime is in progress."