The distance can be an issue. I fired some subsonics out of a revolver at a possum in a tree once. After going through the possum, they were bouncing off of something about 60 yards away. Of course, they were 60 grain bullets pushed by a .22 short charge (Aguila 60 grain SSS rounds), and going through something, so they didn't have much energy to work with. They also didn't work very well out of that short of a barrel and I wound up getting a shotgun to finish him off.
If you're going to shoot squirrels with a .22, you might consider trying to line up your shot so that a tree trunk is immediately behind the squirrel. That way if it misses or goes all the way through, the tree will catch the bullet. Just a thought.