Can I just say something? Players have fun where they are challenged and aren't limited by the imagination or desires of the DM. Most DMs are intimidated by high level characters, and in the case of Immortals, terrified. They don't want to look inept or incompetent having put forth challenges, only to see the characters easily overcome them or having looked foolish from the attempt.
It's called Dungeons and Dragons, but Dungeons can only go so deep and Dragons can only be so tough, until they become something of an annoyance as opposed to any real challenge.
That leads DMs changing the rules to make it harder. Doubling monster's HP, increasing the frequencies or even adding strange and bizarre powers and defences to existing powers.
And when all of that fails, just simply say, "Oh you find your spells no longer work" and that 30th level Wizard becomes zombie food.
I personally think high level PC's and Immortals have a place in adventuring, if DM's think outside the box. Going to other planes of existence to deal with some ancient evil attempting to open a portal to the Prime. Go to one of the vast Galaxies to be involved in an interstellar rebellion against an extremely powerful Empire that rules dozens of worlds. Perhaps uncovering the machinations of one or more evil Immortals or Fiends.
The possibilities are endless.