Not sure if this is an intended behaviour so here is a report.

When you shoot a crossbow with piercing on it and hit a mob (it goes through it), you can pick up this arrow after.

This is inconsistent with the behaviour that hitting a mob 'uses' up the arrow (unless your weapon has infinity on it).

As I'm using the crossbow quite a lot recently I've noticed that this makes me not use up almost any arrows making piercing pretty overpowered.

This might've been caused by some technical limitation in the past. In recent snapshots, 'intangible_projectile' component has been added, so I believe that with that, it would be possible to address this case.