I do have a few "ultimate creatures" in my campaigns, that are basically unkillable by normal means.
In my current game, when the gods waged their battle against the Primordials, they pooled their power to forge the first great weapon....Victory, the literal personification of success. Victory cannot lose, he cannot fail any check, any contest he will win.
Victory defeated the primordials in every engagement, but there was an issue. As the true aspects of creation, the Primordials were incapable of dying. So while Victory always won, inevitably the primordials came back. Eventually one of the gods was killed by one, and the gods blamed Victory. Enraged, Victory killed one of his creators. The gods realizing their weapon had gone rogue, imprisoned destiny in a realm of "eternal challenge". Victory battered through every obstacle put before him, but the gods had put a literal endless line of challenges in his path, imprisoning him for eternity.
For their second weapon, the gods pooled together their will and forged "Destiny". Destiny was built to impose a singular edict: "ALL THINGS MUST HAVE AN END". Within Destiny's presence, the primordials were rendered mortal, and the tide of the war turned.
Destiny has been a force in many of my campaigns, and my players interact with her on occasion. In the most recent one, Victory has escaped his prison, and is now threatening all of reality. Now savvy to the gods tricks, their prison will not work anymore. All of the gods and the greatest champions of the multiverse are currently in a grand battle against Victory, trying to buy the precious minutes needed so that the party and Destiny can secure the key McGuffins needed to stop Victory once and for all.....three special mirrors of opposition that together will create a second Victory, one capable of engaging him in combat....and providing..... an Eternal DRAW!!!
So that's my example. The party will knows that victory and destiny are concepts behind meer "combat". They cannot be killed in that way, you have to use special tactics and McGuffins to do the job.