They're illegal guns bought on the black market... no serial numbers. Just being caught with one of them can get you a couple of years in prison.
If you notice most of the hitmen have latex gloves on, even though it's a little difficult to tell. The zips Tony brings in supposedly have no records in the US so, in the show's universe it makes sense. (In reality they'd get their fingerprints at the airport)
After a hit you have to decide whether you will keep the gun or drop it... and it's often better to leave it at the scene for a number of reasons like not being caught with a hot firearm on you, and considering they're illegal, untraceable guns, you aren't leaving any traces if you're wearing gloves.

Btw, man I love your username but I can't help but read your name in Pacino's voice.