We did a Vietnam War thing where we were too heavily armed, and never really threatened. I wanted to go running off into the jungle in a panic, ditching my gear so I could run faster, only to find my way back hours later and discover the rest of my company half-devoured. But instead we blew the monsters away.
this partly sounds like a home-brewing balance problem.
The GM changed from the standard scenario of lightly armed civilians to an armed platoon of soliders, without really balance testing the combat encounter. Since the first few shots proved the monster was not immune to bullets, the soldiers had no reason to get scared and run. At that point, it became a pure military combat encouter.
I'm not even sure where the GM could have gone from there IF the monster was platoon-proof. Say [MENTION=63]RangerWickett[/MENTION] ran, and comes back to see his platoon's remains (and say the other PCs did likewise). What in Cthulu's Green Snot does 5 PCs think they are going to accomplish against a platoon killing beast?
In a stereotypical horror, the monster takes out a guy or two off camera, that the PCs encounter the aftermath. There is still room for HOPE that the party can use its combined strength and brains to defeat the monster, because they don't have any evidence of its overwhelming strengh or size.
Once you see the beast wipe out a platoon firsthad, that's kind of a buzzkill.